Carlo Sgarra

Available identifiers

zbMath Open sgarra.carloMaRDI QIDQ367372

List of research outcomes

Publication	Date of Publication	Type
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets	2024-10-16	Paper
Hawkes processes in energy markets: modelling, estimation and derivatives pricing	2024-09-25	Paper
A self-exciting modeling framework for forward prices in power markets	2024-07-29	Paper
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters	2024-06-04	Paper
Optimal reinsurance via BSDEs in a partially observable model with jump clusters	2024-04-02	Paper
Interest Rates Term Structure Models Driven by Hawkes Processes	2023-11-23	Paper
Mathematical Finance	2023-08-02	Paper
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process	2021-09-28	Paper
Asian options pricing in Hawkes-type jump-diffusion models	2020-04-20	Paper
Geometric Asian option pricing in general affine stochastic volatility models with jumps	2018-11-19	Paper
Optimal investment in markets with over and under-reaction to information	2017-11-09	Paper
European option pricing with transaction costs and stochastic volatility: an asymptotic analysis	2016-02-03	Paper
American option valuation in a stochastic volatility model with transaction costs	2015-07-29	Paper
Comparison results for GARCH processes	2014-10-15	Paper
Acceptability indexes via \(g\)-expectations: an application to liquidity risk	2013-09-13	Paper
Mathematical Finance: Theory Review and Exercises	2013-08-07	Paper
A finite element discretization method for option pricing with the Bates model	2012-07-11	Paper
https://portal.mardi4nfdi.de/entity/Q2888088	2012-05-30	Paper
The Risk Premium and the Esscher Transform in Power Markets	2012-03-07	Paper
Some results on correlation matrices for interest rates	2011-09-06	Paper
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps	2011-05-11	Paper
The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach	2010-12-27	Paper
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps	2009-07-15	Paper
QUADRATIC HEDGING FOR THE BATES MODEL	2008-05-20	Paper
Shift, slope and curvature for a class of yields correlation matrices	2007-09-14	Paper
Esercizi di finanza matematica	2007-06-28	Paper
Correlation matrices of yields and total positivity	2006-12-07	Paper
Numerical analysis of a shock-wave solution of the Enskog equation obtained via a Monte Carlo method	2006-08-23	Paper
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models	2006-08-21	Paper
An exact analytical solution for discrete barrier options	2006-05-24	Paper
Directions of coaxiality between pure strain and stress in linear elasticity	2003-01-07	Paper
https://portal.mardi4nfdi.de/entity/Q4862533	2001-05-21	Paper
Rotations which make strain and stress coaxial	1998-07-20	Paper
Half-range completeness for the Fokker-Planck equation with an external force	1994-09-01	Paper
\(L^ 2\)-stability near equilibrium of the solution of the homogeneous Boltzmann equation in the case of Maxwellian molecules	1988-01-01	Paper

Research outcomes over time

This page was built for person: Carlo Sgarra