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~isPartOf:"Applied mathematical finance"
~isPartOf:"Decisions in economics and finance : DEF ; a journal of applied mathematics"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Working papers"
~person:"Sabino, Piergiacomo"
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Sabino, Piergiacomo
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Applied mathematical finance
Decisions in economics and finance : DEF ; a journal of applied mathematics
Insurance / Mathematics & economics
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ECONIS (ZBW)
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Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
2
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Sabino, Piergiacomo
;
Cufaro Petroni, Nicola
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012625980
Saved in:
3
A bivariate normal inverse Gaussian process with stochastic delay : efficient simulations and applications to energy markets
Gardini, Matteo
;
Sabino, Piergiacomo
;
Sasso, Emanuela
- In:
Applied mathematical finance
28
(
2021
)
2
,
pp. 178-199
Persistent link: https://www.econbiz.de/10013171069
Saved in:
4
Exact simulation of variance gamma-related OU processes : application to the pricing of energy derivatives
Sabino, Piergiacomo
- In:
Applied mathematical finance
27
(
2020
)
3
,
pp. 207-227
Persistent link: https://www.econbiz.de/10012315167
Saved in:
5
Multidimensional quasi-Monte Carlo Malliavin Greeks
Cufaro Petroni, Nicola
;
Sabino, Piergiacomo
- In:
Decisions in economics and finance : DEF ; a journal of …
36
(
2013
)
2
,
pp. 199-224
Persistent link: https://www.econbiz.de/10010195612
Saved in:
6
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
Sabino, Piergiacomo
- In:
Decisions in economics and finance : DEF ; a journal of …
32
(
2009
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10003835862
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