Simona Sanfelici

Publication Activity (10 Years)

Years Active: 2006-2024
Publications (10 Years): 5

Top Topics

Black Scholes Model

Sensitivity Analysis

Top Venues

Math. Comput. Simul.

Int. J. Comput. Math.

Comput. Methods Appl. Math.

SIAM J. Appl. Math.

Publications

Simona Sanfelici, Giacomo Toscano
The Fourier-Malliavin Volatility (FMVol) MATLAB® library. Math. Comput. Simul. 226 (2024)
Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici
Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code). Comput. Methods Appl. Math. 23 (2) (2023)
Evita Allodi, Claudio Cacciamani, Michele Caliolo, Pier Paolo De Santis, Fabio Della Marra, Simona Sanfelici
Real Estate Asset Management Companies' Economies of Scale: Is It a Dream or Reality? The Italian Case. Complex. 2020 (2020)
Chiara Guardasoni, Simona Sanfelici
Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps. SIAM J. Appl. Math. 76 (1) (2016)
Chiara Guardasoni, Simona Sanfelici
A boundary element approach to barrier option pricing in Black-Scholes framework. Int. J. Comput. Math. 93 (4) (2016)
M. E. Mancino, Simona Sanfelici
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise. Comput. Stat. Data Anal. 52 (6) (2008)
Stefano Baccarin, Simona Sanfelici
Optimal impulse control on an unbounded domain with nonlinear cost functions. Comput. Manag. Sci. 3 (1) (2006)