Sfoglia per Autore
TRANSITION DENSITY FOR CIR PROCESS BY LIE SYMMETRIES AND APPLICATION TO ZCB PRICING
2013-01-01 Cordoni, F.; DI PERSIO, Luca
Asymptotic expansion for the characteristic function of a multiscale stochastic volatility model
2014-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
LIE SYMMETRY APPROACH TO THE CEV MODEL
2014-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
FIRST ORDER CORRECTION FOR THE CHARACTERISTIC FUNCTION OF A MULTIDIMENSIONAL AND MULTISCALE STOCHASTIC VOLATILITY MODEL
2014-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems
2014-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
Invariant measure for the Vasicek interest rate model in the Heath-Jarrow-Morton-Musiela framework
2015-01-01 DI PERSIO, Luca; Cordoni, Francesco Giuseppe
SMALL NOISE EXPANSION FOR THE LÉVY PERTURBED VASICEK MODEL
2015-01-01 DI PERSIO, Luca; Cordoni, Francesco Giuseppe
Small Noise Asymptotic Expansion for a Infinite Dimensional Stochastic Reaction-Diffusion Forced Van Der Pol Equation
2015-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
Optimal control of stochastic FitzHugh-Nagumo equation
2015-01-01 DI PERSIO, Luca; Viorel, Barbu; Cordoni, Francesco Giuseppe
A BSDE with Delayed Generator Approach to Pricing under Counterparty Risk and Collateralization
2016-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps
2017-01-01 DI PERSIO, Luca; Cordoni, Francesco Giuseppe; Oliva, Immacolata
Gaussian estimates on networks with dynamic stochastic boundary conditions
2017-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
Novel approaches to the energy load unbalance forecasting in the Italian electricity market
2017-01-01 DI PERSIO, Luca; Cecchin, A.; Cordoni, Francesco Giuseppe
Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions
2017-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca
Optimal control for the stochastic fitzhugh-nagumo model with recovery variable
2018-01-01 DI PERSIO, Luca; Cordoni, Francesco Giuseppe
Stochastic systems with memory and jumps
2019-01-01 DI PERSIO, Luca; Cordoni, Francesco Giuseppe; DI NUNNO, Giulia; Baños, D. R.; Røse, E. E.
Asymptotic expansion for some local volatility models arising in finance
2019-01-01 Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; Pellegrini, Gregorio
A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
2020-01-01 Cordoni, Francesco Giuseppe; DI PERSIO, Luca; Maticiuc, Lucian; Zalinescu, Adrian
A Bank Salvage Model by Impulse Stochastic Controls
2020-01-01 Cordoni, Francesco; Di Persio, Luca; Jiang, Yilun
A maximum principle for a stochastic control problem with multiple random terminal times
2020-01-01 Cordoni, Francesco; Di Persio, Luca
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