Carlo Sgarra

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Person:367372

Available identifiers

zbMath Open sgarra.carloMaRDI QIDQ367372

List of research outcomes





PublicationDate of PublicationType
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets2024-10-16Paper
Hawkes processes in energy markets: modelling, estimation and derivatives pricing2024-09-25Paper
A self-exciting modeling framework for forward prices in power markets2024-07-29Paper
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters2024-06-04Paper
Optimal reinsurance via BSDEs in a partially observable model with jump clusters2024-04-02Paper
Interest Rates Term Structure Models Driven by Hawkes Processes2023-11-23Paper
Mathematical Finance2023-08-02Paper
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process2021-09-28Paper
Asian options pricing in Hawkes-type jump-diffusion models2020-04-20Paper
Geometric Asian option pricing in general affine stochastic volatility models with jumps2018-11-19Paper
Optimal investment in markets with over and under-reaction to information2017-11-09Paper
European option pricing with transaction costs and stochastic volatility: an asymptotic analysis2016-02-03Paper
American option valuation in a stochastic volatility model with transaction costs2015-07-29Paper
Comparison results for GARCH processes2014-10-15Paper
Acceptability indexes via \(g\)-expectations: an application to liquidity risk2013-09-13Paper
Mathematical Finance: Theory Review and Exercises2013-08-07Paper
A finite element discretization method for option pricing with the Bates model2012-07-11Paper
https://portal.mardi4nfdi.de/entity/Q28880882012-05-30Paper
The Risk Premium and the Esscher Transform in Power Markets2012-03-07Paper
Some results on correlation matrices for interest rates2011-09-06Paper
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps2011-05-11Paper
The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach2010-12-27Paper
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps2009-07-15Paper
QUADRATIC HEDGING FOR THE BATES MODEL2008-05-20Paper
Shift, slope and curvature for a class of yields correlation matrices2007-09-14Paper
Esercizi di finanza matematica2007-06-28Paper
Correlation matrices of yields and total positivity2006-12-07Paper
Numerical analysis of a shock-wave solution of the Enskog equation obtained via a Monte Carlo method2006-08-23Paper
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models2006-08-21Paper
An exact analytical solution for discrete barrier options2006-05-24Paper
Directions of coaxiality between pure strain and stress in linear elasticity2003-01-07Paper
https://portal.mardi4nfdi.de/entity/Q48625332001-05-21Paper
Rotations which make strain and stress coaxial1998-07-20Paper
Half-range completeness for the Fokker-Planck equation with an external force1994-09-01Paper
\(L^ 2\)-stability near equilibrium of the solution of the homogeneous Boltzmann equation in the case of Maxwellian molecules1988-01-01Paper

Research outcomes over time

This page was built for person: Carlo Sgarra