Gianluca Fusai

17 papers A 1Journal 16
YearRankTypeTitle / Venue / Authors
2024 J jnl
Unified Moment-Based Modeling of Integrated Stochastic Processes.
Oper. Res.
Ioannis Kyriakou, Riccardo Brignone, Gianluca Fusai
2022 J jnl
Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions.
Oper. Res.
Milan Kumar Das, Henghsiu Tsai, Ioannis Kyriakou, Gianluca Fusai
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
2020 J jnl
General lattice methods for arithmetic Asian options.
Eur. J. Oper. Res.
Anna Maria Gambaro, Ioannis Kyriakou, Gianluca Fusai
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
2017 J jnl
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market.
Eur. J. Oper. Res.
Ruggero Caldana, Gianluca Fusai, Andrea Roncoroni
2016 J jnl
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options.
Math. Oper. Res.
Gianluca Fusai, Ioannis Kyriakou
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
Pricing exotic derivatives exploiting structure.
Eur. J. Oper. Res.
Debora Sesana, Daniele Marazzina, Gianluca Fusai
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
2008 A conf
Option pricing, maturity randomization and grid computing.
IPDPS
Marina Marena, Daniele Marazzina, Gianluca Fusai
2006 J jnl
An exact analytical solution for discrete barrier options.
Finance Stochastics
Gianluca Fusai, I. David Abrahams, Carlo Sgarra
2002 J jnl
Valuation of exotic options using moments.
Oper. Res.
Mauro D'Amico, Gianluca Fusai, Aldo Tagliani
2001 J jnl
Dynamic value at risk under optimal and suboptimal portfolio policies.
Eur. J. Oper. Res.
Gianluca Fusai, Elisa Luciano