Antonino Zanette

11 papers Journal 11
YearRankTypeTitle / Venue / Authors
2025 J jnl
Computing XVA for American basket derivatives by machine learning techniques.
Comput. Manag. Sci.
Ludovic Goudenège, Andrea Molent, Antonino Zanette
2022 J jnl
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem.
Eur. J. Oper. Res.
Ludovic Goudenège, Andrea Molent, Antonino Zanette
2020 J jnl
Computing credit valuation adjustment solving coupled PIDEs in the Bates model.
Comput. Manag. Sci.
Ludovic Goudenège, Andrea Molent, Antonino Zanette
2019 J jnl
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.
Comput. Manag. Sci.
Ludovic Goudenège, Andrea Molent, Antonino Zanette
2017 J jnl
Fast binomial procedures for pricing Parisian/ParAsian options.
Comput. Manag. Sci.
Marcellino Gaudenzi, Antonino Zanette
2011 J jnl
Monte Carlo methods for pricing and hedging American options in high dimension.
Risk Decis. Anal.
Lucia Caramellino, Antonino Zanette
2011 J jnl
Pricing cliquet options by tree methods.
Comput. Manag. Sci.
Marcellino Gaudenzi, Antonino Zanette
2009 J jnl
Premia: A Numerical Platform for Pricing Financial Derivatives.
ERCIM News
Agnès Sulem, Antonino Zanette
2008 J jnl
New insights on testing the efficiency of methods of pricing and hedging American options.
Eur. J. Oper. Res.
Flavio Pressacco, Marcellino Gaudenzi, Antonino Zanette, Laura Ziani
2005 J jnl
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.
Monte Carlo Methods Appl.
Vlad Bally, Lucia Caramellino, Antonino Zanette
2002 J jnl
Parabolic ADI Methods for Pricing America Options on Two Stocks.
Math. Oper. Res.
Stéphane Villeneuve, Antonino Zanette