Daniele Marazzina

25 papers A 1Journal 22Unranked 2

Year	Rank	Type	Title / 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