Marina Marena

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Non-maturing deposits modelling in an Ornstein-Uhlenbeck framework Applied Stochastic Models in Business and Industry	2024-07-30	Paper
Dependence calibration and portfolio fit with factor-based subordinators Quantitative Finance	2021-07-16	Paper
On non-linear dependence of multivariate subordinated Lévy processes Statistics & Probability Letters	2020-12-18	Paper
Multivariate marked Poisson processes and market related multidimensional information flows International Journal of Theoretical and Applied Finance	2019-04-18	Paper
Multivariate factor-based processes with Sato margins International Journal of Theoretical and Applied Finance	2018-03-15	Paper
A note on marked point processes and multivariate subordination Statistics & Probability Letters	2017-01-16	Paper
Z-Transform and preconditioning techniques for option pricing Quantitative Finance	2014-01-24	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
Portfolio Value at Risk Bounds International Transactions in Operational Research	2004-03-21	Paper
Neighborhood turnpike theorem for continuous-time optimization models Journal of Optimization Theory and Applications	1999-09-12	Paper
Un metodo di valutazione di un portafoglio assicurativo vita Rivista di Matematica per le Scienze Economiche e Sociali	1996-03-26	Paper

Research outcomes over time

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