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Ruggero Caldana
Ruggero Caldana
Consultant and data scientist
Email verificata su bcg.com
Titolo
Citata da
Citata da
Anno
A general closed-form spread option pricing formula
R Caldana, G Fusai
Journal of Banking & Finance 37 (12), 4893-4906, 2013
862013
General closed-form basket option pricing bounds
R Caldana, G Fusai, A Gnoatto, M Grasselli
Quantitative Finance 16 (4), 535-554, 2016
612016
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market
R Caldana, G Fusai, A Roncoroni
European Journal of Operational Research 261 (2), 715-734, 2017
212017
Correction: Exchange option under jump-diffusion dynamics
R Caldana, GHL Cheang, C Chiarella, G Fusai
Applied Mathematical Finance 22 (1), 99-103, 2015
172015
Approximate Pricing of Swaptions in Affine and Quadratic Models
AM Gambaro, R Caldana, G Fusai
Quantitative Finance 17 (9), 1325-1345, 2017
42017
How to Build Electricity Forward Curves
R Caldana, G Fusai, A Roncoroni
Handbook of Multi-Commodity Markets and Products: Structuring, Trading and …, 2015
22015
Spread and basket option pricing: an application to interconnected power markets
R Caldana
Università di Milano Bicocca, 2012
12012
Accurate pricing of swaptions via Lower Bound
AM Gambaro, R Caldana, G Fusai
Handbook of Recent Advances in Commodity and Financial Modeling …, 2018
2018
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