Sfoglia per Autore
Premia: An Option Pricing Project
1999-01-01 Martini, C; Zanette, Antonino
Parabolic ADI Methods for Pricing American Options on Two Stocks
2002-01-01 Villeneuve, S; Zanette, Antonino
Adaptive Finite-Element-Methods for Local Volatility European Option Pricing
2004-01-01 Ern, A; Villeneuve, S; Zanette, Antonino
Efficient binomial algorithms for pricing American Asian options
2005-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
Pricing and Hedging American Options by Monte Carlo Methods using a Malliavin Calculus Approach
2005-01-01 Bally, V; L., Caramellino; Zanette, Antonino
A new binomial algorithm for pricing American pathdependent options
2006-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
A Mixed PDE-Monte Carlo Approach for Pricing Credit Default Index Swaptions
2006-01-01 Bally, V; L., Caramellino; Zanette, Antonino
A Moments and Strike Matching Binomial Algorithm for Pricing American Put Options
2008-01-01 Jourdain, B; Zanette, Antonino
New insights on testing the efficiency of methods of pricing and hedging American options
2008-01-01 Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino; Ziani, Laura
Premia: A Numerical Platform for Pricing Financial Derivatives
2009-01-01 Sulem, A; Zanette, Antonino
Introduction Special Report Numerical Methods implemented in the Premia Software
2009-01-01 Sulem, A.; Zanette, Antonino
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
2009-01-01 Costabile, M; Gaudenzi, Marcellino; Massabò, I; Zanette, Antonino
Pricing American barrier options with discrete dividends by binomial trees
2009-01-01 Gaudenzi, Marcellino; Zanette, Antonino
Tree methods
2010-01-01 Lelong, J; Zanette, Antonino
The Singular Points Binomial Method for pricing American path-dependent options
2010-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
Monte Carlo Methods for pricing and hedging American Options in High Dimension
2011-01-01 L., Caramellino; Zanette, Antonino
Pricing cliquet options by tree methods
2011-01-01 Gaudenzi, Marcellino; Zanette, Antonino
Pricing Ratchet equirty-indexed annuities with early surrender risk in a CIR++ model.
2013-01-01 Wei, X; Gaudenzi, Marcellino; Zanette, Antonino
Efficient pricing of Swing options in Levy-driven models
2013-01-01 Kudryavtsev, O; Zanette, Antonino
The Binomial Interpolated Lattice Method for Step Double Barrier Options
2014-01-01 Appolloni, E; Gaudenzi, Marcellino; Zanette, Antonino
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model.
2015-01-01 E., Appolloni; L., Caramellino; Zanette, Antonino
Variable Annuities: the new solution to long-term investment problem
2016-01-01 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Efficient pricing of Swing options in Lévy-driven models
2016-01-01 Kudryavtsev, Oleg; Zanette, Antonino
Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models
2016-01-01 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
A hybrid approach for the implementation of the Heston model
2017-01-01 Briani, M; Caramellino, L; Zanette, Antonino
Fast binomial procedures for pricing Parisian/ParAsian options
2017-01-01 Gaudenzi, Marcellino; Zanette, Antonino
A hybrid tree/finite-difference approach for Heston-Hull-White type models
2017-01-01 Briani, Maya; Caramellino, Lucia; Zanette, Antonino
Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives
2018-01-01 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
2019-01-01 Ludovic, Goudenege; Molent, Andrea; Zanette, Antonino
Numerical stability of a hybrid method for pricing options.
2019-01-01 Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
2020-01-01 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
2020-01-01 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension
2021-01-01 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate.
2021-01-01 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
2022-01-01 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
Backward hedging for American options with transaction costs
2024-01-01 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
Enhancing valuation of variable annuities in Lévy models with stochastic interest rate
2024-01-01 Goudenege, L.; Molent, A.; Wei, X.; Zanette, A.
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