Daniele Marazzina

Publication Activity (10 Years)

Years Active: 2008-2024
Publications (10 Years): 16

Top Topics

Hilbert Transform

Black Scholes Model

Asset Management

Optimal Stopping

Top Venues

Eur. J. Oper. Res.

Ann. Oper. Res.

Oper. Res. Lett.

Publications

Guodong Ding, Daniele Marazzina
Effect of labour income on the optimal bankruptcy problem. Ann. Oper. Res. 336 (1-2) (2024)
Guodong Ding, Daniele Marazzina
Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework. Comput. Appl. Math. 43 (1) (2024)
Emilio Barucci, Enrico Biffis, Daniele Marazzina
Health insurance, portfolio choice, and retirement incentives. Eur. J. Oper. Res. 307 (2) (2023)
Emilio Barucci, Matteo Brachetta, Daniele Marazzina
Debt redemption fund and fiscal incentives. Commun. Nonlinear Sci. Numer. Simul. 119 (2023)
Raffaele Giuseppe Cestari, Filippo Barchi, Riccardo Busetto, Daniele Marazzina, Simone Formentin
Hawkes-based cryptocurrency forecasting via Limit Order Book data. CoRR (2023)
Michele Azzone, Emilio Barucci, Giancarlo Giuffra Moncayo, Daniele Marazzina
A machine learning model for lapse prediction in life insurance contracts. Expert Syst. Appl. 191 (2022)
Gaetano La Bua, Daniele Marazzina
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. Comput. Manag. Sci. 18 (2) (2021)
Emilio Barucci, Daniele Marazzina, Elisa Mastrogiacomo
Optimal investment strategies with a minimum performance constraint. Ann. Oper. Res. 299 (1) (2021)
Guido Germano, Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms. CoRR (2021)
Laura Ballotta, Gianluca Fusai, Daniele Marazzina
Integrated structural approach to Credit Value Adjustment. Eur. J. Oper. Res. 272 (3) (2019)
Stefania Corsaro, Ioannis Kyriakou, Daniele Marazzina, Zelda Marino
A general framework for pricing Asian options under stochastic volatility on parallel architectures. Eur. J. Oper. Res. 272 (3) (2019)
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
Hilbert transform, spectral filters and option pricing. Ann. Oper. Res. 282 (1-2) (2019)
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. Eur. J. Oper. Res. 271 (1) (2018)
Emilio Barucci, Daniele Marazzina
Asset management, High Water Mark and flow of funds. Oper. Res. Lett. 44 (5) (2016)
Roy Cerqueti, Daniele Marazzina, Marco Ventura
Optimal Investment in Research and Development Under Uncertainty. J. Optim. Theory Appl. 168 (1) (2016)
Gianluca Fusai, Guido Germano, Daniele Marazzina
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. Eur. J. Oper. Res. 251 (1) (2016)
Debora Sesana, Daniele Marazzina, Gianluca Fusai
Pricing exotic derivatives exploiting structure. Eur. J. Oper. Res. 236 (1) (2014)
Stefano Baccarin, Daniele Marazzina
Optimal impulse control of a portfolio with a fixed transaction cost. Central Eur. J. Oper. Res. 22 (2) (2014)
Emilio Barucci, Daniele Marazzina
Optimal investment, stochastic labor income and retirement. Appl. Math. Comput. 218 (9) (2012)
Emilio Barucci, Daniele Marazzina
Corrigendum to 'Optimal investment, stochastic labor income and retirement' Applied Mathematics and Computation 218 (2012) 5588-5604. Appl. Math. Comput. 218 (11) (2012)
Gianluca Fusai, Daniele Marazzina, Marina Marena
Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM J. Financial Math. 2 (1) (2011)
Stefania Corsaro, Daniele Marazzina, Zelda Marino
Wavelet Techniques for Option Pricing on Advanced Architectures. Euro-Par Workshops (2010)
Gianluca Fusai, Daniele Marazzina, Marina Marena
Option pricing, maturity randomization and distributed computing. Parallel Comput. 36 (7) (2010)
Marina Marena, Daniele Marazzina, Gianluca Fusai
Option pricing, maturity randomization and grid computing. IPDPS (2008)