Gianluca Fusai

Available identifiers

zbMath Open fusai.gianlucaMaRDI QIDQ222735

List of research outcomes

Publication	Date of Publication	Type
Unified moment-based modeling of integrated stochastic processes	2024-09-05	Paper
Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions	2022-09-19	Paper
General closed-form basket option pricing bounds	2021-07-16	Paper
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms	2021-06-09	Paper
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models	2021-03-17	Paper
General lattice methods for arithmetic Asian options	2020-01-23	Paper
Hilbert transform, spectral filters and option pricing	2020-01-20	Paper
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II	2019-10-23	Paper
Approximate pricing of swaptions in affine and quadratic models	2018-11-19	Paper
Integrated structural approach to credit value adjustment	2018-10-30	Paper
Correction: Exchange Option under Jump-diffusion Dynamics	2018-09-18	Paper
Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts	2018-08-28	Paper
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options	2018-07-25	Paper
Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market	2018-05-29	Paper
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options	2016-10-07	Paper
Pricing exotic derivatives exploiting structure	2016-06-23	Paper
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options	2016-05-19	Paper
Pricing Credit Derivatives in a Wiener–Hopf Framework	2014-09-29	Paper
Z-Transform and preconditioning techniques for option pricing	2014-01-24	Paper
Pricing Discretely Monitored Asian Options by Maturity Randomization	2011-06-21	Paper
Option pricing, maturity randomization and distributed computing	2010-09-02	Paper
THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING	2010-04-22	Paper
Analysis of quadrature methods for pricing discrete barrier options	2009-05-18	Paper
Pricing financial claims contingent upon an underlying asset monitored at discrete times	2008-03-12	Paper
Implementing models in quantitative finance: methods and cases	2008-02-28	Paper
An exact analytical solution for discrete barrier options	2006-05-24	Paper
AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS	2005-06-22	Paper
Corridor options and arc-sine law.	2004-10-27	Paper
Dynamic value at risk under optimal and suboptimal portfolio policies.	2001-01-01	Paper

Research outcomes over time

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