Gianluca Fusai

Publication Activity (10 Years)

Years Active: 2001-2022
Publications (10 Years): 9

Top Topics

Black Scholes Model

Continuous Monitoring

Hilbert Transform

Top Venues

Eur. J. Oper. Res.

Ann. Oper. Res.

Math. Oper. Res.

Publications

Milan Kumar Das, Henghsiu Tsai, Ioannis Kyriakou, Gianluca Fusai
Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions. Oper. Res. 70 (4) (2022)
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)
Anna Maria Gambaro, Ioannis Kyriakou, Gianluca Fusai
General lattice methods for arithmetic Asian options. Eur. J. Oper. Res. 282 (3) (2020)
Laura Ballotta, Gianluca Fusai, Daniele Marazzina
Integrated structural approach to Credit Value Adjustment. 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)
Ruggero Caldana, Gianluca Fusai, Andrea Roncoroni
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. Eur. J. Oper. Res. 261 (2) (2017)
Gianluca Fusai, Ioannis Kyriakou
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options. Math. Oper. Res. 41 (2) (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)
Gianluca Fusai, Daniele Marazzina, Marina Marena
Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM J. Financial Math. 2 (1) (2011)
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)
Gianluca Fusai, I. David Abrahams, Carlo Sgarra
An exact analytical solution for discrete barrier options. Finance Stochastics 10 (1) (2006)
Mauro D'Amico, Gianluca Fusai, Aldo Tagliani
Valuation of exotic options using moments. Oper. Res. 2 (2) (2002)
Gianluca Fusai, Elisa Luciano
Dynamic value at risk under optimal and suboptimal portfolio policies. Eur. J. Oper. Res. 135 (2) (2001)