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A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model
Ballestra, Luca Vincenzo; Pacelli, Graziella; Zirilli, … - In: Journal of banking & finance 31 (2007) 11, pp. 3420-3437
Persistent link: https://www.econbiz.de/10007869919
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The Analysis of Real Data Using a Multiscale Stochastic Volatility Model
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: European financial management : the journal of the … 19 (2013) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10010070080
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The analysis of real data using a stochastic dynamical system able to model spiky prices
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of mathematical finance 2 (2012) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10010079615
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An explicitly solvable multi-scale stochastic volatility model: Option pricing and calibration problems
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: The journal of futures markets 29 (2009) 9, pp. 862
Persistent link: https://www.econbiz.de/10008276999
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A Class of Global Optimization Problems as Models of the Phase Unwrapping Problem
Maponi, Pierluigi; Zirilli, Francesco - In: Journal of global optimization : an international … 21 (2001) 3, pp. 289-316
Persistent link: https://www.econbiz.de/10007170567
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A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1, pp. 17-36
Persistent link: https://www.econbiz.de/10008211951
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Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Journal of economic dynamics & control 37 (2013) 6, pp. 1142-1167
Persistent link: https://www.econbiz.de/10010100479
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A Numerical Method to Price Defaultable Bonds Based on the Madan and Unal Credit Risk Model
Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied mathematical finance 16 (2009) 1-2, pp. 17-36
Persistent link: https://www.econbiz.de/10008311802
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The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10009897420
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An operator splitting harmonic differential quadrature approach to solve Young’s model for life insurance risk
Ballestra, Luca Vincenzo; Ottaviani, Massimiliano; … - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010011626