Sfoglia per Autore
On the Explicit Evaluation of the Geometric Asian Options in Stochastic Volatility Models with Jumps
2011-01-01 F., Hubalek; Sgarra, Carlo
Some Results on Correlation Matrices for Interest Rates
2011-01-01 E., Salinelli; Sgarra, Carlo
Convex Ordering of Esscher and Minimal Entropy Martingale Measures in Discrete Time Models
2012-01-01 Fabio, Bellini; Sgarra, Carlo
The Risk Premium and the Esscher Transform in Power Markets
2012-01-01 F. E., Benth; Sgarra, Carlo
MATHEMATICAL FINANCE: THEORY REVIEW AND EXERCISES
2013-01-01 E., Rosazza Gianin; Sgarra, Carlo
Acceptability indexes via g-expectations: an application to liquidity risk.
2013-01-01 E., Rosazza Gianin; Sgarra, Carlo
Comparison Results for GARCH Processes
2014-01-01 F., Bellini; F., Pellerey; Sgarra, Carlo; S., Yasaei Sekeh
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015-01-01 R., Caflisch; G., Gambino; Sgarra, Carlo; M., Sammartino
Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets
2015-01-01 Sgarra, Carlo; Fileccia, Gaetano
American option valuation in a stochastic volatility model with transaction costs
2015-01-01 Cosso, Andrea; Marazzina, Daniele; Sgarra, Carlo
Optimal investment in markets with over and under-reaction to information.
2016-01-01 Callegaro, Giorgia; Gaïgi, M’Hamed; Scotti, Simone; Sgarra, Carlo
Geometric Asian option pricing in general affine stochastic volatility models with jumps
2017-01-01 Hubalek, Friedrich; Keller Ressel, Martin; Sgarra, Carlo
A particle filtering approach to oil futures price calibration and forecasting
2018-01-01 Fileccia, Gaetano; Sgarra, Carlo
A branching process approach to power markets.
2019-01-01 Jiao, Ying; Ma, Chunhua; Scotti, Simone; Sgarra, Carlo
Asian options pricing in Hawkes-type jump-diffusion models.
2020-01-01 Brignone, R.; Sgarra, C.
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging
2021-01-01 Gonzato, L.; Sgarra, C.
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
2021-01-01 Bernis, G.; Brignone, R.; Scotti, S.; Sgarra, C.
A self-exciting modeling framework for forward prices in power markets
2021-01-01 Callegaro, Giorgia; Mazzoran, Andrea; Sgarra, Carlo
Mathematical finance: theory review and exercises
2023-01-01 Rosazza Gianin, E.; Sgarra, C.
Interest Rates Term Structure Models Driven by Hawkes Processes
2023-01-01 Bernis, Guillaume; Garcin, Matthieu; Scotti, Simone; Sgarra, Carlo
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