Antonino Zanette

According to our database1, Antonino Zanette authored at least 9 papers between 2002 and 2020.

Collaborative distances:
  • Dijkstra number2 of six.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2020
Computing credit valuation adjustment solving coupled PIDEs in the Bates model.
Comput. Manag. Sci., 2020

2019
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models.
Comput. Manag. Sci., 2019

2017
Fast binomial procedures for pricing Parisian/ParAsian options.
Comput. Manag. Sci., 2017

2011
Monte Carlo methods for pricing and hedging American options in high dimension.
Risk Decis. Anal., 2011

Pricing cliquet options by tree methods.
Comput. Manag. Sci., 2011

2009
Premia: A Numerical Platform for Pricing Financial Derivatives.
ERCIM News, 2009

2008
New insights on testing the efficiency of methods of pricing and hedging American options.
Eur. J. Oper. Res., 2008

2005
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.
Monte Carlo Methods Appl., 2005

2002
Parabolic ADI Methods for Pricing America Options on Two Stocks.
Math. Oper. Res., 2002


  Loading...