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1

Stochastic Modeling of Wind Derivatives in Energy Markets

Benth, Fred, Di Persio, Luca, Lavagnini, Silvia

Journal:

Year:

2018

Language:

english

File:

PDF, 543 KB

english, 2018

2

The Default Risk Charge approach to regulatory risk measurement processes

Bonollo, Michele, Persio, Luca Di, Prezioso, Luca

Journal:

Dependence Modeling

Year:

2018

Language:

english

File:

PDF, 1.32 MB

english, 2018

3

Approximation and convergence of solutions to semilinear stochastic evolution equations with jumps

Marinelli, Carlo, Di Persio, Luca, Ziglio, Giacomo

Journal:

Journal of Functional Analysis

Year:

2013

Language:

english

File:

PDF, 277 KB

english, 2013

4

A lending scheme for a system of interconnected banks with probabilistic constraints of failure

Cordoni, Francesco Giuseppe, Di Persio, Luca, Prezioso, Luca

Journal:

Year:

2020

File:

PDF, 1.39 MB

2020

5

Optimal control of stochastic FitzHugh-Nagumo equation

Barbu, Viorel, Cordoni, Francesco, Persio, Luca Di

Journal:

International Journal of Control

Year:

2015

Language:

english

File:

PDF, 990 KB

english, 2015

6

Novel approaches to the energy load unbalance forecasting in the Italian electricity market

Di Persio, Luca, Cecchin, Alessandro, Cordoni, Francesco

Journal:

Journal of Mathematics in Industry

Year:

2017

Language:

english

File:

PDF, 1.80 MB

english, 2017

7

AIP Conference Proceedings [Author(s) PROCEEDINGS OF THE INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING 2017 (ICCMSE-2017) - Thessaloniki, Greece (21–25 April 2017)] - Analysis of recurrent neural networks for short-term energy load forecasting

Di Persio, Luca, Honchar, Oleksandr

Year:

2017

Language:

english

File:

PDF, 107 KB

english, 2017

8

Mild solutions to the dynamic programming equation for stochastic optimal control problems

Barbu, Viorel, Benazzoli, Chiara, Di Persio, Luca

Journal:

Year:

2018

Language:

english

File:

PDF, 517 KB

english, 2018

9

Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX

Di Persio, Luca, Vettori, Samuele

Journal:

Journal of Mathematics

Year:

2014

Language:

english

File:

PDF, 2.48 MB

english, 2014

10

Asymptotic expansion for some local volatility models arising in finance

Albeverio, Sergio, Cordoni, Francesco, Di Persio, Luca, Pellegrini, Gregorio

Journal:

Decisions in Economics and Finance

Year:

2019

Language:

english

File:

PDF, 4.16 MB

english, 2019

11

Comparison Between Sirolimus- and Paclitaxel-Eluting Stent in T-Cell Subsets Redistribution

Gennaro Sardella, Leonardo De Luca, Angelo Di Roma, Giovanni De Persio, Giulia Conti, Marino Paroli, Francesco Fedele

Journal:

The American Journal of Cardiology

Year:

2006

Language:

english

File:

PDF, 173 KB

english, 2006

12

Local invariants for a finite multipartite quantum system

Albeverio, Sergio, Cattaneo, Laura, Di Persio, Luca

Journal:

Reports on Mathematical Physics

Year:

2007

Language:

english

File:

PDF, 322 KB

english, 2007

13

A rigorous approach to the Feynman-Vernon influence functional and its applications. I

Albeverio, Sergio, Cattaneo, Laura, Mazzucchi, Sonia, Di Persio, Luca

Journal:

Journal of Mathematical Physics

Year:

2007

Language:

english

File:

PDF, 488 KB

english, 2007

14

Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems

Cordoni, Francesco, Di Persio, Luca

Journal:

International Journal of Stochastic Analysis

Year:

2014

Language:

english

File:

PDF, 321 KB

english, 2014

15

Forecasting Energy Market Contracts by Ambit Processes: Empirical Study and Numerical Results

Di Persio, Luca, Marchesan, Michele

Journal:

International Scholarly Research Notices

Year:

2014

Language:

english

File:

PDF, 476 KB

english, 2014

16

SPIE Proceedings [SPIE Astronomical Telescopes and Instrumentation - Waikoloa, HI (Thursday 22 August 2002)] Polarimetry in Astronomy - Sensitivity of a photoelectric x-ray polarimeter for astronomy: the impact of the gas mixture and pressure

Pacciani, Luigi, Costa, Enrico, Di Persio, Giuseppe, Feroci, Marco, Soffitta, Paolo, Baldini, Luca, Bellazzini, Ronaldo, Brez, Alessandro, Lumb, Nicolas, Spandre, Gloria, Fineschi, Silvano

Year:

2003

Language:

english

File:

PDF, 558 KB

english, 2003

17

Optical coherence tomography for characterization of cardiac allograft vasculopathy in late survivors of pediatric heart transplantation

Tomai, Fabrizio, De Luca, Leonardo, Petrolini, Alessandro, Di Vito, Luca, Ghini, Anna S., Corvo, Pierfrancesco, De Persio, Giovanni, Parisi, Francesco, Pongiglione, Giacomo, Giulia Gagliardi, Maria, P

Journal:

The Journal of Heart and Lung Transplantation

Year:

2015

Language:

english

File:

PDF, 727 KB

english, 2015

18

Gibbs sampling approach to regime switching analysis of financial time series

Di Persio, Luca, Frigo, Matteo

Journal:

Journal of Computational and Applied Mathematics

Year:

2016

Language:

english

File:

PDF, 522 KB

english, 2016

19

A Class of Lévy Driven SDEs and their Explicit Invariant Measures

Albeverio, Sergio, Persio, Luca Di, Mastrogiacomo, Elisa, Smii, Boubaker

Journal:

Potential Analysis

Year:

2016

Language:

english

File:

PDF, 556 KB

english, 2016

20

SPIE Proceedings [SPIE Astronomical Telescopes and Instrumentation - Waikoloa, HI (Thursday 22 August 2002)] Polarimetry in Astronomy - Micropattern gas detector for X-ray polarimetry

Bellazzini, Ronaldo, Angelini, F., Baldini, Luca, Brez, Alessandro, Costa, Enrico, Di Persio, Giuseppe, Latronico, Luca, Massai, M. M., Omodei, Nicola, Pacciani, Luigi, Soffitta, Paolo, Spandre, Glori

Year:

2003

Language:

english

File:

PDF, 607 KB

english, 2003

21

Invariant measure for the Vasicek interest rate model in the Heath–Jarrow–Morton–Musiela framework

Cordoni, Francesco, Di Persio, Luca

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2015

Language:

english

File:

PDF, 329 KB

english, 2015

22

SPIE Proceedings [SPIE Astronomical Telescopes and Instrumentation - Waikoloa, HI (Thursday 22 August 2002)] Polarimetry in Astronomy - Novel gaseous x-ray polarimeter: data analysis and simulation

Bellazzini, Ronaldo, Angelini, F., Baldini, Luca, Brez, Alessandro, Costa, Enrico, Di Persio, Giuseppe, Latronico, Luca, Massai, M. M., Omodei, Nicola, Pacciani, Luigi, Soffitta, Paolo, Spandre, Glori

Year:

2003

Language:

english

File:

PDF, 659 KB

english, 2003

23

Maximal irreducibility measure for spatial birth-and-death processes

Bezborodov, Viktor, Persio, Luca Di

Journal:

Statistics & Probability Letters

Year:

2017

Language:

english

File:

PDF, 408 KB

english, 2017

24

Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions

Cordoni, Francesco, Di Persio, Luca

Journal:

Journal of Mathematical Analysis and Applications

Year:

2017

Language:

english

File:

PDF, 470 KB

english, 2017

25

Gaussian estimates on networks with dynamic stochastic boundary conditions

Cordoni, Francesco, Di Persio, Luca

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2017

Language:

english

File:

PDF, 325 KB

english, 2017

26

Optimal execution strategy in liquidity framework

Benazzoli, Chiara, Di Persio, Luca, McMillan, David

Journal:

Cogent Economics & Finance

Year:

2017

Language:

english

File:

PDF, 563 KB

english, 2017

27

AIP Conference Proceedings [Author(s) PROCEEDINGS OF THE INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING 2017 (ICCMSE-2017) - Thessaloniki, Greece (21–25 April 2017)] - Preface of the Symposium “Advanced Engineering Systems and Computer Applications: Theory and Practice”

Collotta, Mario, Pau, Giovanni, Di Persio, Luca, De Marchis, Mauro, Milici, Barbara

Year:

2017

Language:

english

File:

PDF, 294 KB

english, 2017

28

AIP Conference Proceedings [Author(s) PROCEEDINGS OF THE INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING 2017 (ICCMSE-2017) - Thessaloniki, Greece (21–25 April 2017)] - A discrete trinomial model for the birth and death of stock financial bubbles

Di Persio, Luca, Guida, Francesco

Year:

2017

Language:

english

File:

PDF, 125 KB

english, 2017

29

Estimating the Counterparty Risk Exposure by Using the Brownian Motion Local Time

Bonollo, Michele, Persio, Luca Di, Mammi, Luca, Olivad, Immacolata

Journal:

International Journal of Applied Mathematics and Computer Science

Language:

english

File:

PDF, 506 KB

english

30

Small noise asymptotic expansions for stochastic PDE's, I. The case of a dissipative polynomially bounded non linearity

Albeverio, Sergio, Di Persio, Luca, Mastrogiacomo, Elisa

Journal:

Tohoku Mathematical Journal

Year:

2011

Language:

english

File:

PDF, 186 KB

english, 2011

31

Asymptotic shape and the speed of propagation of continuous-time continuous-space birth processes

Bezborodov, Viktor, Di Persio, Luca, Krueger, Tyll, Lebid, Mykola, Ożański, Tomasz

Journal:

Advances in Applied Probability

Year:

2018

Language:

english

File:

PDF, 316 KB

english, 2018

32

Polynomial Chaos Expansion Approach to Interest Rate Models

Di Persio, Luca, Pellegrini, Gregorio, Bonollo, Michele

Journal:

Journal of Probability and Statistics

Year:

2015

Language:

english

File:

PDF, 3.54 MB

english, 2015

33

An Ambit Stochastic Approach to Pricing Electricity Forward Contracts: The Case of the German Energy Market

Di Persio, Luca, Perin, Isacco

Journal:

Journal of Probability and Statistics

Year:

2015

Language:

english

File:

PDF, 2.12 MB

english, 2015

34

Multivariate Option Pricing with Pair-Copulas

Barban, Anna, Di Persio, Luca

Journal:

Journal of Probability

Year:

2014

Language:

english

File:

PDF, 2.29 MB

english, 2014

35

A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization

Cordoni, Francesco, Di Persio, Luca

Journal:

International Journal of Stochastic Analysis

Year:

2016

Language:

english

File:

PDF, 1.95 MB

english, 2016

36

Feedback Optimal Controllers for the Heston Model

Barbu, Viorel, Benazzoli, Chiara, Di Persio, Luca

Journal:

Applied Mathematics & Optimization

Year:

2018

Language:

english

File:

PDF, 474 KB

english, 2018

37

Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth

Bezborodov, Viktor, Di Persio, Luca, Mishura, Yuliya

Journal:

Methodology and Computing in Applied Probability

Year:

2018

Language:

english

File:

PDF, 837 KB

english, 2018

38

Herd Behavior and Financial Crashes: An Interacting Particle System Approach

Crescimanna, Vincenzo, Di Persio, Luca

Journal:

Journal of Mathematics

Year:

2016

Language:

english

File:

PDF, 2.38 MB

english, 2016

39

Asymptotic expansion for some local volatility models arising in finance

Albeverio, Sergio, Cordoni, Francesco, Di Persio, Luca, Pellegrini, Gregorio

Journal:

Decisions in Economics and Finance

Year:

2019

File:

PDF, 4.16 MB

2019

40

A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance

Cordoni, Francesco, Di Persio, Luca, Maticiuc, Lucian, Zălinescu, Adrian

Journal:

Stochastic Processes and their Applications

Year:

2019

Language:

english

File:

PDF, 619 KB

english, 2019

41

-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps

Benazzoli, Chiara, Campi, Luciano, Di Persio, Luca

Journal:

Statistics & Probability Letters

Year:

2019

Language:

english

File:

PDF, 342 KB

english, 2019

42

AIP Conference Proceedings [Author(s) INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING 2018 (ICCMSE 2018) - Thessaloniki, Greece (14–18 March 2018)] - Preface of the symposium “Advanced Engineering Systems and Computer Applications: Theory and Practice”

Collotta, Mario, De Marchis, Mauro, Messineo, Antonio, Pau, Giovanni, Di Persio, Luca

Year:

2018

Language:

english

File:

PDF, 1.14 MB

english, 2018

43

Fecundity regulation in a spatial birth-and-death process

Bezborodov, Viktor, Di Persio, Luca, Finkelshtein, Dmitri, Kondratiev, Yuri, Kutoviy, Oleksandr

Journal:

Stochastics and Dynamics

Year:

2020

File:

PDF, 380 KB

2020

44

Stabilization of planar non-Markovian switched linear systems with unbounded random delays

Bezborodov, Viktor, Persio, Luca Di, Muradore, Riccardo

Journal:

European Journal of Control

Year:

2020

File:

PDF, 3.49 MB

2020

45

A Bank Salvage Model by Impulse Stochastic Controls

Cordoni, Francesco Giuseppe, Di Persio, Luca, Jiang, Yilun

Journal:

Year:

2020

File:

PDF, 526 KB

2020

46

Mean field games with controlled jumpâdiffusion dynamics: Existence results and an illiquid interbank market model

Benazzoli, Chiara, Campi, Luciano, Di Persio, Luca

Journal:

Stochastic Processes and their Applications

Year:

2020

File:

PDF, 662 KB

2020

47

A Shape Theorem for a One-Dimensional Growing Particle System with a Bounded Number of Occupants per Site

Bezborodov, Viktor, Di Persio, Luca, Krueger, Tyll

Journal:

Journal of Theoretical Probability

Year:

2020

File:

PDF, 724 KB

2020

48

Options on constant proportion portfolio insurance with guaranteed minimum equity exposure

Di Persio, Luca, Oliva, Immacolata, Wallbaum, Kai

Journal:

Applied Stochastic Models in Business and Industry

Year:

2020

File:

PDF, 2.02 MB

2020

49

A quantization approach to the counterparty credit exposure estimation

Bonollo, Michele, Di Persio, Luca, Oliva, Immacolata

Journal:

International Review of Economics & Finance

Year:

2020

File:

PDF, 1.42 MB

2020