ZANETTE, Antonino
ZANETTE, Antonino
DIES - DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE
A hybrid tree/finite-difference approach for Heston-Hull-White type models
2017-01-01 Briani, Maya; Caramellino, Lucia; Zanette, Antonino
A hybrid approach for the implementation of the Heston model
2017-01-01 Briani, M; Caramellino, L; 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
A new binomial algorithm for pricing American pathdependent options
2006-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; 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
Adaptive Finite-Element-Methods for Local Volatility European Option Pricing
2004-01-01 Ern, A; Villeneuve, S; Zanette, Antonino
Backward hedging for American options with transaction costs
2024-01-01 Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
2020-01-01 Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino
Efficient binomial algorithms for pricing American Asian options
2005-01-01 Gaudenzi, Marcellino; Lepellere, Maria Antonietta; Zanette, Antonino
Efficient pricing of Swing options in Levy-driven models
2013-01-01 Kudryavtsev, O; Zanette, Antonino
Efficient pricing of Swing options in Lévy-driven models
2016-01-01 Kudryavtsev, Oleg; 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
Fast binomial procedures for pricing Parisian/ParAsian options
2017-01-01 Gaudenzi, Marcellino; Zanette, Antonino
Fourier-Cosine Method for Pricing and Hedging Insurance Derivatives
2018-01-01 Goudenège, Ludovic; Molent, Andrea; Wei, Xiao; Zanette, Antonino
Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate.
2021-01-01 Goudenge, Ludovic; Molent, Andrea; Zanette, Antonino
Introduction Special Report Numerical Methods implemented in the Premia Software
2009-01-01 Sulem, A.; 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
Monte Carlo Methods for pricing and hedging American Options in High Dimension
2011-01-01 L., Caramellino; 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