SGARRA, Carlo
SGARRA, Carlo
DIPARTIMENTO DI MATEMATICA
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
2024-01-01 Benth, Fred Espen; Sgarra, Carlo
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
2021-01-01 Bernis, G.; Brignone, R.; Scotti, S.; Sgarra, C.
A self-exciting modeling framework for forward prices in power markets
2022-01-01 Callegaro, G.; Mazzoran, A.; Sgarra, C.
Asian options pricing in Hawkes-type jump-diffusion models
2020-01-01 Brignone, R.; Sgarra, C.
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
2024-01-01 Brignone, R.; Gonzato, L.; Sgarra, C.
Foreword to the Special Issue on Energy Finance and Climate Change
2024-01-01 Baviera, Roberto; Sgarra, Carlo; Vargiolu, Tiziano; Sen, Rituparna
Guaranteed Minimum Maturity Benefits in a Self-Exciting Stochastic Mortality Model: Pricing, Estimation and Calibration
2023-01-01 Baños, David; Sande, Å. H.; Sgarra, Carlo
Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing
2024-01-01 Brignone, R.; Gonzato, L.; Sgarra, C.
Interest Rates Term Structure Models Driven by Hawkes Processes
2023-01-01 Bernis, G.; Garcin, M.; Scotti, S.; Sgarra, C.
Mathematical Finance
2023-01-01 Rosazza Gianin, Emanuela; Sgarra, Carlo
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
2024-01-01 Brachetta, Matteo; Callegaro, Giorgia; Ceci, Claudia; Sgarra, Carlo
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging
2021-01-01 Gonzato, L.; Sgarra, C.