| Esscher transforms and the minimal entropy martingale measure for exponential Lévy models F Hubalek, C Sgarra § Quantitative finance 6 (02), 125-145, 2006 | 132 | 2006 |
| An exact analytical solution for discrete barrier options G Fusai, ID Abrahams, C Sgarra Finance and Stochastics 10, 1-26, 2006 | 120 | 2006 |
| The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach LV Ballestra, C Sgarra Computers & Mathematics with Applications 60 (6), 1571-1590, 2010 | 75 | 2010 |
| The risk premium and the Esscher transform in power markets FE Benth, C Sgarra Stochastic Analysis and Applications 30 (1), 20-43, 2012 | 51 | 2012 |
| A branching process approach to power markets Y Jiao, C Ma, S Scotti, C Sgarra Energy Economics 79, 144-156, 2019 | 40 | 2019 |
| Geometric Asian option pricing in general affine stochastic volatility models with jumps F Hubalek, M Keller-Ressel, C Sgarra Quantitative Finance 17 (6), 873-888, 2017 | 32 | 2017 |
| On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps F Hubalek, C Sgarra Journal of Computational and Applied Mathematics 235 (11), 3355-3365, 2011 | 32 | 2011 |
| On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps F Hubalek, C Sgarra Stochastic Processes and their Applications 119 (7), 2137-2157, 2009 | 30 | 2009 |
| Numerical analysis of a shock-wave solution of the Enskog equation obtained via a Monte Carlo method A Frezzotti, C Sgarra Journal of statistical physics 73, 193-207, 1993 | 30 | 1993 |
| Acceptability indexes via-expectations: an application to liquidity risk E Rosazza Gianin, C Sgarra Mathematics and financial economics 7 (4), 457-475, 2013 | 27 | 2013 |
| A self‐exciting modeling framework for forward prices in power markets G Callegaro, A Mazzoran, C Sgarra Applied stochastic models in business and industry 38 (1), 27-48, 2022 | 25 | 2022 |
| A gamma ornstein–uhlenbeck model driven by a hawkes process G Bernis, R Brignone, S Scotti, C Sgarra Mathematics and Financial Economics 15 (4), 747-773, 2021 | 24 | 2021 |
| Optimal investment in markets with over and under-reaction to information G Callegaro, M Gaïgi, S Scotti, C Sgarra Mathematics and Financial Economics 11, 299-322, 2017 | 21 | 2017 |
| Ingegneria finanziaria: un'introduzione quantitativa E Barucci Egea, 2009 | 20 | 2009 |
| Correlation matrices of yields and total positivity E Salinelli, C Sgarra Linear algebra and its applications 418 (2-3), 682-692, 2006 | 20 | 2006 |
| Rotations which make strain and stress coaxial C Sgarra, M Vianello Journal of elasticity 47, 217-224, 1997 | 20 | 1997 |
| Asian options pricing in Hawkes-type jump-diffusion models R Brignone, C Sgarra Annals of Finance 16 (1), 101-119, 2020 | 19 | 2020 |
| A particle filtering approach to oil futures price calibration and forecasting G Fileccia, C Sgarra Journal of Commodity Markets 9, 21-34, 2018 | 16 | 2018 |
| A finite element discretization method for option pricing with the Bates model E Miglio, C Sgarra SeMA Journal 55 (1), 23-40, 2011 | 16 | 2011 |
| Shift, slope and curvature for a class of yields correlation matrices E Salinelli, C Sgarra Linear algebra and its applications 426 (2-3), 650-666, 2007 | 16 | 2007 |
Emanuela Rosazza GianinUniversity of Milano-Bicocca, ItalyEmail verificata su unimib.it
