SGARRA, CARLO
SGARRA, CARLO
A branching process approach to power markets.
2019-01-01 Jiao, Ying; Ma, Chunhua; Scotti, Simone; Sgarra, Carlo
A Finite Element Discretization Method for Option Pricing with the Bates Model
2011-01-01 Miglio, Edie; Sgarra, Carlo
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
2021-01-01 Bernis, G.; Brignone, R.; Scotti, S.; Sgarra, C.
A particle filtering approach to oil futures price calibration and forecasting
2018-01-01 Fileccia, Gaetano; Sgarra, Carlo
A self-exciting modeling framework for forward prices in power markets
2021-01-01 Callegaro, Giorgia; Mazzoran, Andrea; Sgarra, Carlo
Acceptability indexes via g-expectations: an application to liquidity risk.
2013-01-01 E., Rosazza Gianin; Sgarra, Carlo
American option valuation in a stochastic volatility model with transaction costs
2015-01-01 Cosso, Andrea; Marazzina, Daniele; Sgarra, Carlo
An Exact Analytical Solution for Discrete Barrier Options
2006-01-01 Fusai, G.; Abrahams, D. I.; Sgarra, Carlo
Asian options pricing in Hawkes-type jump-diffusion models.
2020-01-01 Brignone, R.; Sgarra, C.
Comments on Extension of the Mott-Smith Method to denser gases
1995-01-01 Cercignani, Carlo; Frezzotti, Aldo; Sgarra, Carlo
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
2023-01-01 Brignone, R.; Gonzato, L.; Sgarra, C.
Comparison Results for GARCH Processes
2014-01-01 F., Bellini; F., Pellerey; Sgarra, Carlo; S., Yasaei Sekeh
Convex Ordering of Esscher and Minimal Entropy Martingale Measures in Discrete Time Models
2012-01-01 Fabio, Bellini; Sgarra, Carlo
Correlation matrices for yields and total positivity
2006-01-01 E., Salinelli; Sgarra, Carlo
Directions of coaxiality between pure strain and stress in linear elasticity
1997-01-01 Sgarra, Carlo; Vianello, MAURIZIO STEFANO
ESERCIZI DI FINANZA MATEMATICA
2007-01-01 E., Rosazza Gianin; Sgarra, Carlo
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015-01-01 R., Caflisch; G., Gambino; Sgarra, Carlo; M., Sammartino
Geometric Asian option pricing in general affine stochastic volatility models with jumps
2017-01-01 Hubalek, Friedrich; Keller Ressel, Martin; Sgarra, Carlo
Half-Range Completeness for the Fokker-Planck Equation with an External Force
1992-01-01 Cercignani, Carlo; Sgarra, Carlo
Half-Range Completeness of the Fokker-Planck Eqution with an External Force
1995-01-01 Cercignani, Carlo; Sgarra, Carlo