Francesco Statti

Publication Activity (10 Years)

Years Active: 2019-2020
Publications (10 Years): 2

Top Topics

Black Scholes Model

Matrix Inversion

Top Venues

SIAM J. Financial Math.

Publications

Kathrin Glau, Daniel Kressner, Francesco Statti
Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing. SIAM J. Financial Math. 11 (3) (2020)
Damir Filipovic, Kathrin Glau, Yuji Nakatsukasa, Francesco Statti
Weighted Monte Carlo with least squares and randomized extended Kaczmarz for option pricing. CoRR (2019)