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1

A parallel wavelet-based pricing procedure for Asian options

Corsaro, S., Marazzina, D., Marino, Z.

Journal:

Quantitative Finance

Year:

2015

Language:

english

File:

PDF, 990 KB

english, 2015

2

American option valuation in a stochastic volatility model with transaction costs

Cosso, Andrea, Marazzina, Daniele, Sgarra, Carlo

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 340 KB

english, 2015

3

Optimal investment, stochastic labor income and retirement

Emilio Barucci, Daniele Marazzina

Journal:

Applied Mathematics and Computation

Year:

2012

Language:

english

File:

PDF, 814 KB

english, 2012

4

Corrigendum to ‘Optimal investment, stochastic labor income and retirement’ Appl. Math. Comput. 218 (2012) 5588–5604

Emilio Barucci, Daniele Marazzina

Journal:

Applied Mathematics and Computation

Year:

2012

Language:

english

File:

PDF, 106 KB

english, 2012

5

Optimal impulse control of a portfolio with a fixed transaction cost

Baccarin, Stefano, Marazzina, Daniele

Journal:

Central European Journal of Operations Research

Year:

2014

Language:

english

File:

PDF, 1.05 MB

english, 2014

6

Pricing exotic derivatives exploiting structure

Sesana, Debora, Marazzina, Daniele, Fusai, Gianluca

Journal:

European Journal of Operational Research

Year:

2014

Language:

english

File:

PDF, 1.06 MB

english, 2014

7

Pricing Discretely Monitored Asian Options by Maturity Randomization

Fusai, Gianluca, Marazzina, Daniele, Marena, Marina

Journal:

SIAM Journal on Financial Mathematics

Year:

2011

Language:

english

File:

PDF, 379 KB

english, 2011

8

[IEEE Distributed Processing Symposium (IPDPS) - Miami, FL, USA (2008.04.14-2008.04.18)] 2008 IEEE International Symposium on Parallel and Distributed Processing - Option pricing, maturity randomization and grid computing

Marena, Marina, Marazzina, Daniele, Fusai, Gianluca

Year:

2008

Language:

english

File:

PDF, 234 KB

english, 2008

9

RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING

BARUCCI, EMILIO, MARAZZINA, DANIELE

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 596 KB

english, 2015

10

Z -Transform and preconditioning techniques for option pricing

Fusai, Gianluca, Marazzina, Daniele, Marena, Marina, Ng, Michael

Journal:

Quantitative Finance

Year:

2012

Language:

english

File:

PDF, 240 KB

english, 2012

11

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

Fusai, Gianluca, Germano, Guido, Marazzina, Daniele

Journal:

European Journal of Operational Research

Year:

2015

Language:

english

File:

PDF, 1.08 MB

english, 2015

12

Fluctuation identities with continuous monitoring and their application to the pricing of barrier options

Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, Guido

Journal:

European Journal of Operational Research

Year:

2018

Language:

english

File:

PDF, 1.27 MB

english, 2018

13

Optimal investment strategies with a minimum performance constraint

Barucci, Emilio, Marazzina, Daniele, Mastrogiacomo, Elisa

Journal:

Annals of Operations Research

Year:

2019

Language:

english

File:

PDF, 1.07 MB

english, 2019

14

The determinants of lapse rates in the Italian life insurance market

Barucci, Emilio, Colozza, Tommaso, Marazzina, Daniele, Rroji, Edit

Journal:

European Actuarial Journal

Year:

2020

File:

PDF, 1.33 MB

2020

15

Option pricing, maturity randomization and distributed computing

Gianluca Fusai, Daniele Marazzina, Marina Marena

Journal:

Parallel Computing

Year:

2010

Language:

english

File:

PDF, 353 KB

english, 2010

16

hp-DGFEM FOR KOLMOGOROV–FOKKER–PLANCK EQUATIONS OF MULTIVARIATE LÉVY PROCESSES

MARAZZINA, DANIELE, REICHMANN, OLEG, SCHWAB, CHRISTOPH

Journal:

Mathematical Models and Methods in Applied Sciences

Year:

2012

Language:

english

File:

PDF, 625 KB

english, 2012

17

Stability properties of discontinuous Galerkin methods for 2D elliptic problems

Journal:

IMA Journal of Numerical Analysis

Year:

2007

Language:

english

File:

PDF, 260 KB

english, 2007

18

Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints

Baccarin, S., Marazzina, D.

Journal:

IMA Journal of Management Mathematics

Year:

2015

Language:

english

File:

PDF, 931 KB

english, 2015

19

Optimal Investment in Research and Development Under Uncertainty

Cerqueti, Roy, Marazzina, Daniele, Ventura, Marco

Journal:

Journal of Optimization Theory and Applications

Year:

2016

Language:

english

File:

PDF, 846 KB

english, 2016

20

Asset management, High Water Mark and flow of funds

Barucci, Emilio, Marazzina, Daniele

Journal:

Operations Research Letters

Year:

2016

Language:

english

File:

PDF, 348 KB

english, 2016

21

On relative performance, remuneration and risk taking of asset managers

Barucci, Emilio, La Bua, Gaetano, Marazzina, Daniele

Journal:

Annals of Finance

Year:

2018

Language:

english

File:

PDF, 1.40 MB

english, 2018

22

Hilbert transform, spectral filters and option pricing

Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, Guido

Journal:

Annals of Operations Research

Year:

2018

Language:

english

File:

PDF, 1.09 MB

english, 2018

23

Integrated structural approach to Credit Value Adjustment

Ballotta, Laura, Fusai, Gianluca, Marazzina, Daniele

Journal:

European Journal of Operational Research

Year:

2018

Language:

english

File:

PDF, 1.24 MB

english, 2018

24

A general framework for pricing Asian options under stochastic volatility on parallel architectures

Corsaro, Stefania, Kyriakou, Ioannis, Marazzina, Daniele, Marino, Zelda

Journal:

European Journal of Operational Research

Year:

2018

Language:

english

File:

PDF, 1.63 MB

english, 2018

25

Response to ESMA/2016/773: 'The Distributed Ledger Technology Applied to Securities Markets'

Ametrano, Ferdinando M., Barucci, Emilio, Marazzina, Daniele, Zanero, Stefano

Journal:

SSRN Electronic Journal

Year:

2016

File:

PDF, 219 KB

2016

26

Response to ESMA/2016/773: 'The Distributed Ledger Technology Applied to Securities Markets'

Ametrano, Ferdinando M., Barucci, Emilio, Marazzina, Daniele, Zanero, Stefano

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 219 KB

english, 2016

27

Integrated Structural Approach to Counterparty Credit Risk with Dependent Jumps

Ballotta, Laura, Fusai, Gianluca, Marazzina, Daniele

Journal:

SSRN Electronic Journal

Year:

2015

File:

PDF, 876 KB

2015

28

Pricing methods for Î± -quantile and perpetual early exercise options based on Spitzer identities

Phelan, C. E., Marazzina, D., Germano, G.

Journal:

Quantitative Finance

Year:

2020

File:

PDF, 1.50 MB

2020

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