Daniele Marazzina

25 papers A 1Journal 22Unranked 2
YearRankTypeTitle / Venue / Authors
2025 — conf
Univariate Hawkes-based cryptocurrency forecasting via Limit Order Book data.
ECC
Raffaele G. Cestari, Filippo Barchi, Riccardo Busetto, Daniele Marazzina, Simone Formentin
2024 J jnl
Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework.
Comput. Appl. Math.
Guodong Ding, Daniele Marazzina
2024 J jnl
Effect of labour income on the optimal bankruptcy problem.
Ann. Oper. Res.
Guodong Ding, Daniele Marazzina
2023 J jnl
Debt redemption fund and fiscal incentives.
Commun. Nonlinear Sci. Numer. Simul.
Emilio Barucci, Matteo Brachetta, Daniele Marazzina
2023 J jnl
Hawkes-based cryptocurrency forecasting via Limit Order Book data.
CoRR
Raffaele Giuseppe Cestari, Filippo Barchi, Riccardo Busetto, Daniele Marazzina, Simone Formentin
2023 J jnl
Health insurance, portfolio choice, and retirement incentives.
Eur. J. Oper. Res.
Emilio Barucci, Enrico Biffis, Daniele Marazzina
2022 J jnl
A machine learning model for lapse prediction in life insurance contracts.
Expert Syst. Appl.
Michele Azzone, Emilio Barucci, Giancarlo Giuffra Moncayo, Daniele Marazzina
2021 J jnl
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case.
Comput. Manag. Sci.
Gaetano La Bua, Daniele Marazzina
2021 J jnl
Optimal investment strategies with a minimum performance constraint.
Ann. Oper. Res.
Emilio Barucci, Daniele Marazzina, Elisa Mastrogiacomo
2021 J jnl
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms.
CoRR
Guido Germano, Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai
2019 J jnl
A general framework for pricing Asian options under stochastic volatility on parallel architectures.
Eur. J. Oper. Res.
Stefania Corsaro, Ioannis Kyriakou, Daniele Marazzina, Zelda Marino
2019 J jnl
Hilbert transform, spectral filters and option pricing.
Ann. Oper. Res.
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
2019 J jnl
Integrated structural approach to Credit Value Adjustment.
Eur. J. Oper. Res.
Laura Ballotta, Gianluca Fusai, Daniele Marazzina
2018 J jnl
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options.
Eur. J. Oper. Res.
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
2016 J jnl
Asset management, High Water Mark and flow of funds.
Oper. Res. Lett.
Emilio Barucci, Daniele Marazzina
2016 J jnl
Optimal Investment in Research and Development Under Uncertainty.
J. Optim. Theory Appl.
Roy Cerqueti, Daniele Marazzina, Marco Ventura
2016 J jnl
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options.
Eur. J. Oper. Res.
Gianluca Fusai, Guido Germano, Daniele Marazzina
2014 J jnl
Optimal impulse control of a portfolio with a fixed transaction cost.
Central Eur. J. Oper. Res.
Stefano Baccarin, Daniele Marazzina
2014 J jnl
Pricing exotic derivatives exploiting structure.
Eur. J. Oper. Res.
Debora Sesana, Daniele Marazzina, Gianluca Fusai
2012 J jnl
Corrigendum to 'Optimal investment, stochastic labor income and retirement' Applied Mathematics and Computation 218 (2012) 5588-5604.
Appl. Math. Comput.
Emilio Barucci, Daniele Marazzina
2012 J jnl
Optimal investment, stochastic labor income and retirement.
Appl. Math. Comput.
Emilio Barucci, Daniele Marazzina
2011 J jnl
Pricing Discretely Monitored Asian Options by Maturity Randomization.
SIAM J. Financial Math.
Gianluca Fusai, Daniele Marazzina, Marina Marena
2010 J jnl
Option pricing, maturity randomization and distributed computing.
Parallel Comput.
Gianluca Fusai, Daniele Marazzina, Marina Marena
2010 — conf
Wavelet Techniques for Option Pricing on Advanced Architectures.
Euro-Par Workshops
Stefania Corsaro, Daniele Marazzina, Zelda Marino
2008 A conf
Option pricing, maturity randomization and grid computing.
IPDPS
Marina Marena, Daniele Marazzina, Gianluca Fusai