Zobrazeno 1 - 10
of 48
pro vyhledávání: '"Daniele Marazzina"'
Publikováno v:
Revista de Matemática: Teoría y Aplicaciones, Vol 16, Iss 1, Pp 148-158 (2009)
This work presents the implementation on a Linux Cluster of a parallel preconditioner for the solution of the linear system resulting from the finite element discretization of a 2D second order elliptic boundary value problem. The numerical method, p
Externí odkaz:
https://doaj.org/article/b76af3c8efb84170bf6e06773afec8ed
Autor:
Daniele Marazzina, Gaetano La Bua
Publikováno v:
Decisions in Economics and Finance. 45:209-239
In this article, we present a new class of pricing models that extend the application of Wishart processes to the so-called stochastic local volatility (or hybrid) pricing paradigm. This approach combines the advantages of local and stochastic volati
Publikováno v:
Evaluation and Program Planning. 98:102273
Publikováno v:
Communications in Nonlinear Science and Numerical Simulation. 119:107094
Publikováno v:
Economic Modelling. 119:106141
Publikováno v:
Quantitative Finance. 20:899-918
We present new numerical schemes for pricing perpetual Bermudan and American options as well as $\alpha$-quantile options. This includes a new direct calculation of the optimal exercise barrier for early-exercise options. Our approach is based on the
In this paper, we analyze Sovereign Bond-Backed Securities in the Euro area, concentrating our attention on the return of the different tranches and on their riskiness. We show that as the correlation level among States increases, the yield rate of s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::548c1a8fdfe955c0bd2016167db8deff
http://hdl.handle.net/11311/1192457
http://hdl.handle.net/11311/1192457
We analyze cryptoasset markets (cryptocurrencies and stablecoins) at high frequency. We investigate intraday patterns. We show that Tether plays a crucial role as a safe haven and/or store of value facilitating trading in cryptocurrencies without goi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::54c9bbf02f79de6d949c702b59bea26f
https://hdl.handle.net/11311/1219530
https://hdl.handle.net/11311/1219530