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Simona Sanfelici
Simona Sanfelici
Professor of Mathematics, University of Parma
Verified email at unipr.it - Homepage
Title
Cited by
Cited by
Year
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
ME Mancino, S Sanfelici
Computational Statistics & data analysis 52 (6), 2966-2989, 2008
1232008
Convergence of the Galerkin approximation of a degenerate evolution problem in electrocardiology
S Sanfelici
Numerical Methods for Partial Differential Equations: An Internationalá…, 2002
582002
Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise
ME Mancino, S Sanfelici
Journal of financial econometrics 9 (2), 367-408, 2011
442011
Practical Problems in the Numerical Solution of PDE's in Finance
G Fusai, S Sanfelici, A Tagliani
Rendiconti per gli Studi Economici Quantitativi, UniversitÓ Ca’Foscariá…, 2002
422002
Fourier-Malliavin volatility estimation: Theory and practice
ME Mancino, MC Recchioni, S Sanfelici
Springer International Publishing, 2017
382017
Estimation of quarticity with high-frequency data
ME Mancino, S Sanfelici
Quantitative finance 12 (4), 607-622, 2012
322012
An Improved Two‐step Regularization Scheme for Spot Volatility Estimation
S Ogawa, S Sanfelici
Economic Notes 40 (3), 107-134, 2011
302011
A Mellin transform approach to barrier option pricing
C Guardasoni, MR Rodrigo, S Sanfelici
IMA Journal of Management Mathematics 31 (1), 49-67, 2020
272020
Fast numerical pricing of barrier options under stochastic volatility and jumps
C Guardasoni, S Sanfelici
SIAM Journal on Applied Mathematics 76 (1), 27-57, 2016
252016
High-frequency volatility of volatility estimation free from spot volatility estimates
S Sanfelici, IV Curato, ME Mancino
Quantitative Finance 15 (8), 1331-1345, 2015
252015
Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
S Sanfelici
Decisions in Economics and Finance 27, 125-151, 2004
222004
Measuring the leverage effect in a high frequency trading framework
IV Curato, S Sanfelici
Handbook of High Frequency Trading 42, 5-446, 2015
152015
A boundary element approach to barrier option pricing in Black–Scholes framework
C Guardasoni, S Sanfelici
International Journal of Computer Mathematics 93 (4), 696-722, 2016
142016
Identifying financial instability conditions using high frequency data
ME Mancino, S Sanfelici
Journal of Economic Interaction and Coordination 15 (1), 221-242, 2020
112020
Optimal impulse control on an unbounded domain with nonlinear cost functions
S Baccarin, S Sanfelici
Computational Management Science 3, 81-100, 2006
112006
Numerical Simulations of Fractionated Electrograms and Pathological Cardiac Action Potential
S Sanfelici
Journal of Theoretical Medicine 4 (3), 167-181, 2002
102002
A fractional model for the COVID-19 pandemic: Application to Italian data
E Al˛s, ME Mancino, R Merino, S Sanfelici
Stochastic Analysis and Applications 39 (5), 842-860, 2021
92021
An application of nonparametric volatility estimators to option pricing
RN Kenmoe, S Sanfelici
Decisions in Economics and Finance 37, 393-412, 2014
82014
Calibration of a nonlinear feedback option pricing model
S Sanfelici
Quantitative Finance 7 (1), 95-110, 2007
82007
of a parabolic-ordinary system modelling cardiac activation under equal anisotropy conditions (**)
S SAN FELICI
Riv. Mat. Univ. Parma (5) 5, 143-157, 1996
81996
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