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
28 2019 Fused lasso approach in portfolio selection S Corsaro, V De Simone, Z Marino
Annals of Operations Research 299 (1), 47-59, 2021
27 2021 Split Bregman iteration for multi-period mean variance portfolio optimization S Corsaro, V De Simone, Z Marino
Applied Mathematics and Computation 392, 125715, 2021
24 2021 S Corsaro, V De Simone, Z Marino, F Perla
Annals of Operations Research 294 (1), 75-86, 2020
20 2020 An investigation of machine learning approaches in the solvency ii valuation framework G Castellani, U Fiore, Z Marino, L Passalacqua, F Perla, S Scognamiglio, ...
Available at SSRN 3303296, 2018
18 2018 On parallel asset-liability management in life insurance: a forward risk-neutral approach S Corsaro, PL De Angelis, Z Marino, F Perla, P Zanetti
Parallel Computing 36 (7), 390-402, 2010
11 2010 Machine learning techniques in nested stochastic simulations for life insurance G Castellani, U Fiore, Z Marino, L Passalacqua, F Perla, S Scognamiglio, ...
Applied Stochastic Models in Business and Industry 37 (2), 159-181, 2021
10 2021 l 1 -Regularization in Portfolio Selection with Machine LearningS Corsaro, V De Simone, Z Marino, S Scognamiglio
Mathematics 10 (4), 540, 2022
9 2022 A parallel wavelet-based pricing procedure for Asian options S Corsaro, D Marazzina, Z Marino
Quantitative Finance 15 (1), 101-113, 2015
8 2015 Tuning a deep learning network for solvency ii: Preliminary results U Fiore, Z Marino, L Passalacqua, F Perla, S Scognamiglio, P Zanetti
Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF …, 2018
7 2018 On high-performance software development for the numerical simulation of life insurance policies S Corsaro, PL De Angelis, Z Marino, F Perla
Numerical methods for finance, 87-112, 2007
7 2007 Algorithm 944: Talbot suite: Parallel implementations of Talbot's method for the numerical inversion of Laplace transforms L Antonelli, S Corsaro, Z Marino, M Rizzardi
ACM Transactions on Mathematical Software (TOMS) 40 (4), 1-18, 2014
6 2014 Numerical solution of the regularized portfolio selection problem S Corsaro, VD Simone, Z Marino, F Perla
Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF …, 2018
4 2018 A note on optimality conditions for control problems with parameters L Grosset, B Viscolani
Applied Mathematical Sciences 12 (16), 773-782, 2018
4 2018 KREMM: An e-learning system for mathematical models applied to economics and finance S Corsaro, P De Angelis, M Guarracino, Z Marino, V Monetti, F Perla, ...
Journal of e-Learning and Knowledge Society 5 (1), 221-230, 2009
4 2009 Participating life insurance policies: an accurate and efficient parallel software for COTS clusters S Corsaro, PL De Angelis, Z Marino, F Perla
Computational Management Science 8, 219-236, 2011
3 2011 Computational issues in internal models: the case of profit-sharing life insurance policies S Corsaro, P De Angelis, Z Marino, F Perla, P Zanetti
G dell’Istituto Ital degli Attuari 72, 237-256, 2009
3 2009 Measuring default risk in a parallel ALM software for life insurance portfolios S Corsaro, Z Marino, F Perla, P Zanetti
Euro-Par 2010 Parallel Processing Workshops: HeteroPar, HPCC, HiBB, CoreGrid …, 2011
2 2011 Wavelet techniques for option pricing on advanced architectures S Corsaro, D Marazzina, Z Marino
Euro-Par 2010 Parallel Processing Workshops: HeteroPar, HPCC, HiBB, CoreGrid …, 2011
2 2011 Learning fused lasso parameters in portfolio selection via neural networks S Corsaro, V De Simone, Z Marino, S Scognamiglio
Quality & Quantity, 1-19, 2024
1 2024 
Paolo ZanettiUniversità degli Studi di Napoli ParthenopeEmail verificata su uniparthenope.it
