Gianluca Fusai - researchr alias

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Viewing Publication 1 - 16 from 16

2024

Unified Moment-Based Modeling of Integrated Stochastic ProcessesIoannis Kyriakou, Riccardo Brignone, Gianluca Fusai. ior, 72(4):1630-1653, 2024. [doi]

2022

Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum DistributionsMilan Kumar Das, Henghsiu Tsai, Ioannis Kyriakou, Gianluca Fusai. ior, 70(4):1984-1995, 2022. [doi]

2020

General lattice methods for arithmetic Asian optionsAnna Maria Gambaro, Ioannis Kyriakou, Gianluca Fusai. eor, 282(3):1185-1199, 2020. [doi]

2019

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

2017

Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot marketRuggero Caldana, Gianluca Fusai, Andrea Roncoroni. eor, 261(2):715-734, 2017. [doi]

2016

General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian OptionsGianluca Fusai, Ioannis Kyriakou. mor, 41(2):531-559, 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

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

2011

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

2010

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]

2006

An exact analytical solution for discrete barrier optionsGianluca Fusai, I. David Abrahams, Carlo Sgarra. fs, 10(1):1-26, 2006. [doi]

2002

Valuation of exotic options using momentsMauro D Amico, Gianluca Fusai, Aldo Tagliani. or, 2(2):157-186, 2002. [doi]

2001

Dynamic value at risk under optimal and suboptimal portfolio policiesGianluca Fusai, Elisa Luciano. eor, 135(2):249-269, 2001. [doi]

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