Carlo Sgarra

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 2

Top Topics

Support Systems

Capital Budgeting

Statistical Models

Top Venues

Ann. Oper. Res.

J. Appl. Probab.

SIAM J. Financial Math.

Publications

Riccardo Brignone, Luca Gonzato, Carlo Sgarra
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters. Ann. Oper. Res. 336 (1-2) (2024)
Guillaume Bernis, Matthieu Garcin, Simone Scotti, Carlo Sgarra
Interest Rates Term Structure Models Driven by Hawkes Processes. SIAM J. Financial Math. 14 (4) (2023)
Fabio Bellini, Franco Pellerey, Carlo Sgarra, Salimeh Yasaei Sekeh
Comparison Results for GARCH Processes. J. Appl. Probab. 51 (3) (2014)
Friedrich Hubalek, Carlo Sgarra
On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps. J. Comput. Appl. Math. 235 (11) (2011)
Luca Vincenzo Ballestra, Carlo Sgarra
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach. Comput. Math. Appl. 60 (6) (2010)
Gianluca Fusai, I. David Abrahams, Carlo Sgarra
An exact analytical solution for discrete barrier options. Finance Stochastics 10 (1) (2006)