Piergiacomo Sabino

Available identifiers

zbMath Open sabino.piergiacomoMaRDI QIDQ377788

List of research outcomes

Publication	Date of Publication	Type
Exchange Option Pricing Under Variance Gamma-Like Models	2023-10-09	Paper
Normal Tempered Stable Processes and the Pricing of Energy Derivatives	2023-03-31	Paper
Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes	2022-12-09	Paper
Fast simulation of tempered stable Ornstein-Uhlenbeck processes	2022-11-15	Paper
Exact simulation of normal tempered stable processes of OU type with applications	2022-10-07	Paper
A Bivariate Normal Inverse Gaussian Process with Stochastic Delay: Efficient Simulations and Applications to Energy Markets	2022-03-21	Paper
Gamma-related Ornstein–Uhlenbeck processes and their simulation*	2022-03-18	Paper
Correlating Lévy processes with self-decomposability: applications to energy markets	2022-01-06	Paper
Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes	2021-11-15	Paper
Pricing exchange options with correlated jump diffusion processes	2021-09-03	Paper
The Variance Gamma++ Process and Applications to Energy Markets	2021-06-29	Paper
Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives	2021-02-08	Paper
Forward or backward simulation? A comparative study	2020-12-07	Paper
Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes	2020-11-18	Paper
Gamma Related Ornstein-Uhlenbeck Processes and their Simulation	2020-03-15	Paper
Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities	2018-09-19	Paper
Coupling Poisson processes by self-decomposability	2017-07-12	Paper
Cointegrating Jumps: an Application to Energy Facilities	2015-09-03	Paper
Multidimensional quasi-Monte Carlo Malliavin Greeks	2013-11-07	Paper
Pricing and hedging Asian basket options with quasi-Monte Carlo simulations	2013-04-08	Paper
CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION	2011-11-22	Paper
Implementing quasi-Monte Carlo simulations with linear transformations	2011-06-22	Paper
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options	2009-06-22	Paper
Monte Carlo Methods and Path-Generation techniques for Pricing Multi-asset Path-dependent Options	2007-10-03	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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