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Titolo Data di pubblicazione Autore(i) File
Premia: An Option Pricing Project 1-gen-1999 Martini, C; Zanette, Antonino
Parabolic ADI Methods for Pricing American Options on Two Stocks 1-gen-2002 Villeneuve, S; Zanette, Antonino
Adaptive Finite-Element-Methods for Local Volatility European Option Pricing 1-gen-2004 Ern, A; Villeneuve, S; Zanette, Antonino
Efficient binomial algorithms for pricing American Asian options 1-gen-2005 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
Pricing and Hedging American Options by Monte Carlo Methods using a Malliavin Calculus Approach 1-gen-2005 Bally, V; L., Caramellino; Zanette, Antonino
A new binomial algorithm for pricing American pathdependent options 1-gen-2006 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
A Mixed PDE-Monte Carlo Approach for Pricing Credit Default Index Swaptions 1-gen-2006 Bally, V; L., Caramellino; Zanette, Antonino
A Moments and Strike Matching Binomial Algorithm for Pricing American Put Options 1-gen-2008 Jourdain, B; Zanette, Antonino
New insights on testing the efficiency of methods of pricing and hedging American options 1-gen-2008 Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino; Ziani, Laura
Premia: A Numerical Platform for Pricing Financial Derivatives 1-gen-2009 Sulem, A; Zanette, Antonino
Pricing American barrier options with discrete dividends by binomial trees 1-gen-2009 Gaudenzi, Marcellino; Zanette, Antonino
Introduction Special Report Numerical Methods implemented in the Premia Software 1-gen-2009 Sulem, A.; Zanette, Antonino
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model 1-gen-2009 Costabile, M; Gaudenzi, Marcellino; Massabò, I; Zanette, Antonino
Tree methods 1-gen-2010 Lelong, J; Zanette, Antonino
The Singular Points Binomial Method for pricing American path-dependent options 1-gen-2010 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
Monte Carlo Methods for pricing and hedging American Options in High Dimension 1-gen-2011 L., Caramellino; Zanette, Antonino
Pricing cliquet options by tree methods 1-gen-2011 Gaudenzi, Marcellino; Zanette, Antonino
Pricing Ratchet equirty-indexed annuities with early surrender risk in a CIR++ model. 1-gen-2013 Wei, X; Gaudenzi, Marcellino; Zanette, Antonino
Efficient pricing of Swing options in Levy-driven models 1-gen-2013 Kudryavtsev, O; Zanette, Antonino
The Binomial Interpolated Lattice Method for Step Double Barrier Options 1-gen-2014 Appolloni, E; Gaudenzi, Marcellino; Zanette, Antonino
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model. 1-gen-2015 E., Appolloni; L., Caramellino; Zanette, Antonino
Variable Annuities: the new solution to long-term investment problem 1-gen-2016 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Efficient pricing of Swing options in Lévy-driven models 1-gen-2016 Kudryavtsev, Oleg; Zanette, Antonino
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models 1-gen-2016 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
A hybrid approach for the implementation of the Heston model 1-gen-2017 Briani, M; Caramellino, L; Zanette, Antonino
Fast binomial procedures for pricing Parisian/ParAsian options 1-gen-2017 Gaudenzi, Marcellino; Zanette, Antonino
A hybrid tree/finite-difference approach for Heston-Hull-White type models 1-gen-2017 Briani, Maya; Caramellino, Lucia; Zanette, Antonino
Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives 1-gen-2018 Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; Zanette, Antonino
Pricing and Hedging GMWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models 1-gen-2019 Ludovic, Goudenege; Molent, Andrea; Zanette, Antonino
Numerical stability of a hybrid method for pricing options. 1-gen-2019 Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
Computing credit valuation adjustment solving coupled PIDEs in the Bates model 1-gen-2020 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models 1-gen-2020 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate. 1-gen-2021 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension 1-gen-2021 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem 1-gen-2022 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
Mostrati risultati da 1 a 35 di 35
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