Riccardo Brignone

Publication Activity (10 Years)

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

Top Topics

Stochastic Model

Capital Budgeting

Top Venues

Ann. Oper. Res.

SIAM J. Sci. Comput.

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)
Riccardo Brignone
Exact Simulation of the Multifactor Ornstein-Uhlenbeck Driven Stochastic Volatility Model. SIAM J. Sci. Comput. 46 (3) (2024)