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Disambiguation of "Fusai, Gianluca"

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Option pricing, maturity randomization and distributed computing.

, , and . Parallel Comput., 36 (7): 403-414 (2010)

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Gianluca Airaghi

Gianluca Cama

Gianluca Valenti

Gianluca Quintini

Gianluca Carlin

 

Other publications of authors with the same name

Analysis of quadrature methods for pricing discrete barrier options, and . Journal of Economic Dynamics and Control, 31 (3): 826--860 (March 2007)General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options., and . Math. Oper. Res., 41 (2): 531-559 (2016)Integrated structural approach to Credit Value Adjustment., , and . Eur. J. Oper. Res., 272 (3): 1143-1157 (2019)An exact analytical solution for discrete barrier options., , and . Finance and Stochastics, 10 (1): 1-26 (2006)Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market., , and . Eur. J. Oper. Res., 261 (2): 715-734 (2017)Pricing Discretely Monitored Asian Options by Maturity Randomization., , and . SIAM J. Financial Math., 2 (1): 383-403 (2011)General lattice methods for arithmetic Asian options., , and . Eur. J. Oper. Res., 282 (3): 1185-1199 (2020)Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions., , , and . Oper. Res., 70 (4): 1984-1995 (2022)Dynamic value at risk under optimal and suboptimal portfolio policies., and . Eur. J. Oper. Res., 135 (2): 249-269 (2001)Hilbert transform, spectral filters and option pricing., , , and . Ann. Oper. Res., 282 (1-2): 273-298 (2019)