Sfoglia per Autore
Homogeneous and heterogeneous traffic of data packets on complex networks: the traffic congestion phenomenon
2012-01-01 A., Farina; A., Graziano; Mariani, Francesca; M. C., Recchioni; F., Zirilli
Normal and lognormal SABR and multi-scale SABR Models: Option Pricing and Calibration
2012-01-01 L., Fatone; Mariani, Francesca; M. C., Recchioni; F., Zirilli
The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
2012-01-01 L., Fatone; Mariani, Francesca; M. C., Recchioni; F., Zirilli
Parallel Option Pricing on GPU: Barrier Options and Realized Variance Options
2012-01-01 L., Fatone; M., Giacinti; Mariani, Francesca; M. C., Recchioni; F., Zirilli
Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration
2013-01-01 Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
A Video Game Based on Elementary Differential Equations
2013-01-01 Marco, Giacinti; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
Some Explicit Formulae for the Hull and White Stochastic Volatility Model
2013-01-01 Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems
2013-01-01 Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
A Video Game Based on Optimal Control and Elementary Statistics
2013-01-01 Marco, Giacinti; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
The use of statistical tests to calibrate the normal SABR model
2013-01-01 Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
The Analysis of Real Data Using a Multiscale Stochastic Volatility Model
2013-01-01 Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
Research Seminars in Mathematical Finance: Stochastic Volatility Models, Option Pricing, Calibration
2014-01-01 L., Fatone; Mariani, Francesca; M. C., Recchioni; F., Zirilli
The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance
2014-01-01 Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices
2014-01-01 Fatone, L.; Mariani, Francesca; Recchioni, M. C.; Zirilli, F.
A Trading Execution Model Based on Mean Field Games and Optimal Control
2014-01-01 Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| Homogeneous and heterogeneous traffic of data packets on complex networks: the traffic congestion phenomenon | 1-gen-2012 | A., Farina; A., Graziano; Mariani, Francesca; M. C., Recchioni; F., Zirilli | |
| Normal and lognormal SABR and multi-scale SABR Models: Option Pricing and Calibration | 1-gen-2012 | L., Fatone; Mariani, Francesca; M. C., Recchioni; F., Zirilli | |
| The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility | 1-gen-2012 | L., Fatone; Mariani, Francesca; M. C., Recchioni; F., Zirilli | |
| Parallel Option Pricing on GPU: Barrier Options and Realized Variance Options | 1-gen-2012 | L., Fatone; M., Giacinti; Mariani, Francesca; M. C., Recchioni; F., Zirilli | |
| Some Explicitly Solvable SABR and Multiscale SABR Models: Option Pricing and Calibration | 1-gen-2013 | Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| A Video Game Based on Elementary Differential Equations | 1-gen-2013 | Marco, Giacinti; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| Some Explicit Formulae for the Hull and White Stochastic Volatility Model | 1-gen-2013 | Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| Closed Form Moment Formulae for the Lognormal SABR Model and Applications to Calibration Problems | 1-gen-2013 | Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| A Video Game Based on Optimal Control and Elementary Statistics | 1-gen-2013 | Marco, Giacinti; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| The use of statistical tests to calibrate the normal SABR model | 1-gen-2013 | Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| The Analysis of Real Data Using a Multiscale Stochastic Volatility Model | 1-gen-2013 | Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| Research Seminars in Mathematical Finance: Stochastic Volatility Models, Option Pricing, Calibration | 1-gen-2014 | L., Fatone; Mariani, Francesca; M. C., Recchioni; F., Zirilli | |
| The Calibration of Some Stochastic Volatility Models Used in Mathematical Finance | 1-gen-2014 | Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli | |
| The SABR Model: Explicit Formulae of the Moments of the Forward Prices/Rates Variable and Series Expansions of the Transition Probability Density and of the Option Prices | 1-gen-2014 | Fatone, L.; Mariani, Francesca; Recchioni, M. C.; Zirilli, F. | |
| A Trading Execution Model Based on Mean Field Games and Optimal Control | 1-gen-2014 | Lorella, Fatone; Mariani, Francesca; Maria Cristina, Recchioni; Francesco, Zirilli |
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