Daniele Marazzina - researchr alias

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Viewing Publication 1 - 22 from 22

2024

Effect of labour income on the optimal bankruptcy problemGuodong Ding, Daniele Marazzina. anor, 336(1-2):773-795, May 2024. [doi]

Bankruptcy and retirement: a comparison in an optimal stopping times ordered frameworkGuodong Ding, Daniele Marazzina. cam, 43(1):53, February 2024. [doi]

2023

Debt redemption fund and fiscal incentivesEmilio Barucci, Matteo Brachetta, Daniele Marazzina. cnsns, 119:107094, May 2023. [doi]

Health insurance, portfolio choice, and retirement incentivesEmilio Barucci, Enrico Biffis, Daniele Marazzina. eor, 307(2):910-921, June 2023. [doi]

2022

A machine learning model for lapse prediction in life insurance contractsMichele Azzone, Emilio Barucci, Giancarlo Giuffra Moncayo, Daniele Marazzina. eswa, 191:116261, 2022. [doi]

2021

Optimal investment strategies with a minimum performance constraintEmilio Barucci, Daniele Marazzina, Elisa Mastrogiacomo. anor, 299(1):215-239, 2021. [doi]

On the application of Wishart process to the pricing of equity derivatives: the multi-asset caseGaetano La Bua, Daniele Marazzina. cms, 18(2):149-176, 2021. [doi]

2019

Integrated structural approach to Credit Value AdjustmentLaura Ballotta, Gianluca Fusai, Daniele Marazzina. eor, 272(3):1143-1157, 2019. [doi]

A general framework for pricing Asian options under stochastic volatility on parallel architecturesStefania Corsaro, Ioannis Kyriakou, Daniele Marazzina, Zelda Marino. eor, 272(3):1082-1095, 2019. [doi]

Hilbert transform, spectral filters and option pricingCarolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano 0001. anor, 282(1-2):273-298, 2019. [doi]

2018

Fluctuation identities with continuous monitoring and their application to the pricing of barrier optionsCarolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano. eor, 271(1):210-223, 2018. [doi]

2016

Asset management, High Water Mark and flow of fundsEmilio Barucci, Daniele Marazzina. orl, 44(5):607-611, 2016. [doi]

Optimal Investment in Research and Development Under UncertaintyRoy Cerqueti, Daniele Marazzina, Marco Ventura. jota, 168(1):296-309, 2016. [doi]

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic optionsGianluca Fusai, Guido Germano, Daniele Marazzina. eor, 251(1):124-134, 2016. [doi]

2014

Optimal impulse control of a portfolio with a fixed transaction costStefano Baccarin, Daniele Marazzina. cejor, 22(2):355-372, 2014. [doi]

Pricing exotic derivatives exploiting structureDebora Sesana, Daniele Marazzina, Gianluca Fusai. eor, 236(1):369-381, 2014. [doi]

2012

Corrigendum to 'Optimal investment, stochastic labor income and retirement' Applied Mathematics and Computation 218 (2012) 5588-5604Emilio Barucci, Daniele Marazzina. amc, 218(11):6627, 2012. [doi]

Optimal investment, stochastic labor income and retirementEmilio Barucci, Daniele Marazzina. amc, 218(9):5588-5604, 2012. [doi]

2011

Pricing Discretely Monitored Asian Options by Maturity RandomizationGianluca Fusai, Daniele Marazzina, Marina Marena. siamfm, 2(1):383-403, 2011. [doi]

2010

Wavelet Techniques for Option Pricing on Advanced ArchitecturesStefania Corsaro, Daniele Marazzina, Zelda Marino. europar 2011: 447-454 [doi]

Option pricing, maturity randomization and distributed computingGianluca Fusai, Daniele Marazzina, Marina Marena. pc, 36(7):403-414, 2010. [doi]

2008

Option pricing, maturity randomization and grid computingMarina Marena, Daniele Marazzina, Gianluca Fusai. ipps 2008: 1-8 [doi]

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