Simona Sanfelici

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
Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) Computational Methods in Applied Mathematics	2023-07-04	Paper
A fractional model for the COVID-19 pandemic: Application to Italian data Stochastic Analysis and Applications	2021-11-18	Paper
A Mellin transform approach to barrier option pricing IMA Journal of Management Mathematics	2020-09-30	Paper
High-frequency volatility of volatility estimation free from spot volatility estimates Quantitative Finance	2019-02-06	Paper
Firm's volatility risk under microstructure noise Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-12-13	Paper
Fourier-Malliavin Volatility Estimation SpringerBriefs in Quantitative Finance	2017-01-06	Paper
A boundary element approach to barrier option pricing in Black-Scholes framework International Journal of Computer Mathematics	2016-05-06	Paper
Fast numerical pricing of barrier options under stochastic volatility and jumps SIAM Journal on Applied Mathematics	2016-01-07	Paper
An application of nonparametric volatility estimators to option pricing Decisions in Economics and Finance	2015-05-04	Paper
Assessing the quality of volatility estimators via option pricing Studies in Nonlinear Dynamics & Econometrics	2014-07-28	Paper
Estimation of quarticity with high-frequency data Quantitative Finance	2014-01-17	Paper
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise Computational Statistics and Data Analysis	2009-06-12	Paper
Optimal impulse control on an unbounded domain with nonlinear cost functions Computational Management Science	2008-05-27	Paper
Calibration of a nonlinear feedback option pricing model Quantitative Finance	2007-05-18	Paper
Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff Decisions in Economics and Finance	2005-04-11	Paper
Numerical Simulations of Fractionated Electrograms and Pathological Cardiac Action Potential Journal of Theoretical Medicine	2004-11-16	Paper
Convergence of the Galerkin approximation of a degenerate evolution problem in electrocardiology Numerical Methods for Partial Differential Equations	2002-07-01	Paper
scientific article; zbMATH DE number 1300409 (Why is no real title available?)	2000-04-19	Paper
scientific article; zbMATH DE number 1361439 (Why is no real title available?)	1999-12-19	Paper
scientific article; zbMATH DE number 1038424 (Why is no real title available?)	1997-09-30	Paper

Research outcomes over time

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