SGARRA, Carlo

SGARRA, Carlo  

DIPARTIMENTO DI MATEMATICA  

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Titolo Data di pubblicazione Autore(i) File
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets 1-gen-2024 Benth, Fred Espen; Sgarra, Carlo
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process 1-gen-2021 Bernis, G.; Brignone, R.; Scotti, S.; Sgarra, C.
A self-exciting modeling framework for forward prices in power markets 1-gen-2022 Callegaro, G.; Mazzoran, A.; Sgarra, C.
Asian options pricing in Hawkes-type jump-diffusion models 1-gen-2020 Brignone, R.; Sgarra, C.
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters 1-gen-2024 Brignone, R.; Gonzato, L.; Sgarra, C.
Foreword to the Special Issue on Energy Finance and Climate Change 1-gen-2024 Baviera, Roberto; Sgarra, Carlo; Vargiolu, Tiziano; Sen, Rituparna
Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration 1-gen-2023 Baños, David; Sande, Å. H.; Sgarra, Carlo
Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing 1-gen-2024 Brignone, R.; Gonzato, L.; Sgarra, C.
Interest Rates Term Structure Models Driven by Hawkes Processes 1-gen-2023 Bernis, G.; Garcin, M.; Scotti, S.; Sgarra, C.
Mathematical Finance 1-gen-2023 Rosazza Gianin, Emanuela; Sgarra, Carlo
Optimal reinsurance via BSDEs in a partially observable model with jump clusters 1-gen-2024 Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; Sgarra, Carlo
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging 1-gen-2021 Gonzato, L.; Sgarra, C.