Daniele Marazzina
Daniele Marazzina
Email verificata su
Citata da
Citata da
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
G Fusai, G Germano, D Marazzina
European Journal of Operational Research 251 (1), 124-134, 2016
Pricing discretely monitored Asian options by maturity randomization
G Fusai, D Marazzina, M Marena
SIAM Journal on Financial Mathematics 2 (1), 383-403, 2011
Optimal investment, stochastic labor income and retirement
E Barucci, D Marazzina
Applied Mathematics and Computation 218 (9), 5588-5604, 2012
Integrated structural approach to credit value adjustment
L Ballotta, G Fusai, D Marazzina
European Journal of Operational Research 272 (3), 1143-1157, 2019
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
CE Phelan, D Marazzina, G Fusai, G Germano
European Journal of Operational Research 271 (1), 210-223, 2018
Hilbert transform, spectral filters and option pricing
CE Phelan, D Marazzina, G Fusai, G Germano
Annals of Operations Research 282 (1), 273-298, 2019
Pricing exotic derivatives exploiting structure
D Sesana, D Marazzina, G Fusai
European Journal of Operational Research 236 (1), 369-381, 2014
A general framework for pricing Asian options under stochastic volatility on parallel architectures
S Corsaro, I Kyriakou, D Marazzina, Z Marino
European Journal of Operational Research 272 (3), 1082-1095, 2019
Z-Transform and preconditioning techniques for option pricing
G Fusai, D Marazzina, M Marena, M Ng
Quantitative Finance 12 (9), 1381-1394, 2012
Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints
S Baccarin, D Marazzina
IMA Journal of Management Mathematics 27 (4), 471-504, 2015
Option pricing, maturity randomization and distributed computing
G Fusai, D Marazzina, M Marena
Parallel Computing 36 (7), 403-414, 2010
Optimal investment in research and development under uncertainty
R Cerqueti, D Marazzina, M Ventura
Journal of Optimization Theory and Applications 168 (1), 296-309, 2016
Optimal impulse control of a portfolio with a fixed transaction cost
S Baccarin, D Marazzina
Central European Journal of Operations Research 22 (2), 355-372, 2014
Stability properties of discontinuous Galerkin methods for 2D elliptic problems
D Marazzina
IMA journal of numerical analysis 28 (3), 552-579, 2008
Asset management, High Water Mark and flow of funds
E Barucci, D Marazzina
Operations Research Letters 44 (5), 607-611, 2016
Risk seeking, nonconvex remuneration and regime switching
E Barucci, D Marazzina
International Journal of Theoretical and Applied Finance 18 (02), 1550009, 2015
Pricing credit derivatives in a Wiener–Hopf framework
D Marazzina, G Fusai, G Germano
Topics in numerical methods for finance, 139-154, 2012
hp-DGFEM for Kolmogorov–Fokker–Planck equations of multivariate LÚvy processes
D Marazzina, O Reichmann, C Schwab
Mathematical Models and Methods in Applied Sciences 22 (01), 1150005, 2012
A parallel wavelet-based pricing procedure for Asian options
S Corsaro, D Marazzina, Z Marino
Quantitative Finance 15 (1), 101-113, 2015
American option valuation in a stochastic volatility model with transaction costs
A Cosso, D Marazzina, C Sgarra
Stochastics An International Journal of Probability and Stochastic Processesá…, 2015
Il sistema al momento non pu˛ eseguire l'operazione. Riprova pi¨ tardi.
Articoli 1–20