| Publication | Date of Publication | Type |
|---|
Effect of labour income on the optimal bankruptcy problem
Annals of Operations Research | 2024-06-04 | Paper |
Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework
Computational and Applied Mathematics | 2024-02-12 | Paper |
Health insurance, portfolio choice, and retirement incentives
European Journal of Operational Research | 2023-07-04 | Paper |
Debt redemption fund and fiscal incentives
Communications in Nonlinear Science and Numerical Simulation | 2023-02-23 | Paper |
A new class of multidimensional Wishart-based hybrid models
Decisions in Economics and Finance | 2022-06-17 | Paper |
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
Computational Management Science | 2021-11-24 | Paper |
Optimal investment strategies with a minimum performance constraint
Annals of Operations Research | 2021-11-08 | Paper |
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms
| 2021-06-09 | Paper |
Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
Quantitative Finance | 2020-12-07 | Paper |
The determinants of lapse rates in the Italian life insurance market
European Actuarial Journal | 2020-11-04 | Paper |
Hilbert transform, spectral filters and option pricing
Annals of Operations Research | 2020-01-20 | Paper |
Calibration and advanced simulation schemes for the Wishart stochastic volatility model
Quantitative Finance | 2019-09-26 | Paper |
Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Asset management, high water mark and flow of funds
Operations Research Letters | 2019-01-11 | Paper |
On relative performance, remuneration and risk taking of asset managers
Annals of Finance | 2018-12-10 | Paper |
A general framework for pricing Asian options under stochastic volatility on parallel architectures
European Journal of Operational Research | 2018-10-30 | Paper |
Integrated structural approach to credit value adjustment
European Journal of Operational Research | 2018-10-30 | Paper |
A parallel wavelet-based pricing procedure for Asian options
Quantitative Finance | 2018-09-19 | Paper |
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
European Journal of Operational Research | 2018-07-25 | Paper |
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
European Journal of Operational Research | 2016-10-07 | Paper |
Optimal impulse control of a portfolio with a fixed transaction cost
CEJOR. Central European Journal of Operations Research | 2016-06-30 | Paper |
Pricing exotic derivatives exploiting structure
European Journal of Operational Research | 2016-06-23 | Paper |
Optimal investment in research and development under uncertainty
Journal of Optimization Theory and Applications | 2016-03-09 | Paper |
American option valuation in a stochastic volatility model with transaction costs
Stochastics | 2015-07-29 | Paper |
Risk seeking, nonconvex remuneration and regime switching
International Journal of Theoretical and Applied Finance | 2015-05-11 | Paper |
Pricing credit derivatives in a Wiener-Hopf framework
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
Z-Transform and preconditioning techniques for option pricing
Quantitative Finance | 2014-01-24 | Paper |
\(hp\)-DGFEM for Kolmogorov-Fokker-Planck equations of multivariate Lévy processes
M\(^3\)AS. Mathematical Models \& Methods in Applied Sciences | 2012-06-13 | Paper |
Optimal investment, stochastic labor income and retirement
Applied Mathematics and Computation | 2012-06-11 | Paper |
Corrigendum to `Optimal investment, stochastic labor income and retirement'
Applied Mathematics and Computation | 2012-05-18 | Paper |
Pricing discretely monitored Asian options by maturity randomization
SIAM Journal on Financial Mathematics | 2011-06-21 | Paper |
Option pricing, maturity randomization and distributed computing
Parallel Computing | 2010-09-02 | Paper |
Stability properties of discontinuous Galerkin methods for 2D elliptic problems
IMA Journal of Numerical Analysis | 2008-07-29 | Paper |
Mixed discontinuous Galerkin methods with minimal stabilization
| 2007-06-19 | Paper |
