Daniele Marazzina

According to our database, Daniele Marazzina authored at least 23 papers between 2008 and 2024.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2024

Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework.

Guodong Ding, Daniele Marazzina

Comput. Appl. Math., February, 2024

2023

Health insurance, portfolio choice, and retirement incentives.

Emilio Barucci, Enrico Biffis, Daniele Marazzina

Eur. J. Oper. Res., June, 2023

Debt redemption fund and fiscal incentives.

Emilio Barucci, Matteo Brachetta, Daniele Marazzina

Commun. Nonlinear Sci. Numer. Simul., May, 2023

Hawkes-based cryptocurrency forecasting via Limit Order Book data.

Raffaele Giuseppe Cestari, Filippo Barchi, Riccardo Busetto, Daniele Marazzina, Simone Formentin

CoRR, 2023

2022

A machine learning model for lapse prediction in life insurance contracts.

Michele Azzone, Emilio Barucci, Giancarlo Giuffra Moncayo, Daniele Marazzina

Expert Syst. Appl., 2022

2021

Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms.

Guido Germano, Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai

CoRR, 2021

On the application of Wishart process to the pricing of equity derivatives: the multi-asset case.

Gaetano La Bua, Daniele Marazzina

Comput. Manag. Sci., 2021

Optimal investment strategies with a minimum performance constraint.

Emilio Barucci, Daniele Marazzina, Elisa Mastrogiacomo

Ann. Oper. Res., 2021

2019

A general framework for pricing Asian options under stochastic volatility on parallel architectures.

Stefania Corsaro, Ioannis Kyriakou, Daniele Marazzina, Zelda Marino

Eur. J. Oper. Res., 2019

Integrated structural approach to Credit Value Adjustment.

Laura Ballotta, Gianluca Fusai, Daniele Marazzina

Eur. J. Oper. Res., 2019

Hilbert transform, spectral filters and option pricing.

Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano

Ann. Oper. Res., 2019

2018

Fluctuation identities with continuous monitoring and their application to the pricing of barrier options.

Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano

Eur. J. Oper. Res., 2018

2016

Asset management, High Water Mark and flow of funds.

Emilio Barucci, Daniele Marazzina

Oper. Res. Lett., 2016

Optimal Investment in Research and Development Under Uncertainty.

Roy Cerqueti, Daniele Marazzina, Marco Ventura

J. Optim. Theory Appl., 2016

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options.

Gianluca Fusai, Guido Germano, Daniele Marazzina

Eur. J. Oper. Res., 2016

2014

Pricing exotic derivatives exploiting structure.

Debora Sesana, Daniele Marazzina, Gianluca Fusai

Eur. J. Oper. Res., 2014

Optimal impulse control of a portfolio with a fixed transaction cost.

Stefano Baccarin, Daniele Marazzina

Central Eur. J. Oper. Res., 2014

2012

Corrigendum to 'Optimal investment, stochastic labor income and retirement' Applied Mathematics and Computation 218 (2012) 5588-5604.

Emilio Barucci, Daniele Marazzina

Appl. Math. Comput., 2012

Optimal investment, stochastic labor income and retirement.

Emilio Barucci, Daniele Marazzina

Appl. Math. Comput., 2012

2011

Pricing Discretely Monitored Asian Options by Maturity Randomization.

Gianluca Fusai, Daniele Marazzina, Marina Marena

SIAM J. Financial Math., 2011

2010

Option pricing, maturity randomization and distributed computing.

Gianluca Fusai, Daniele Marazzina, Marina Marena

Parallel Comput., 2010

Wavelet Techniques for Option Pricing on Advanced Architectures.

Stefania Corsaro, Daniele Marazzina, Zelda Marino

Proceedings of the Euro-Par 2010 Parallel Processing Workshops, 2010

2008

Option pricing, maturity randomization and grid computing.

Marina Marena, Daniele Marazzina, Gianluca Fusai

Proceedings of the 22nd IEEE International Symposium on Parallel and Distributed Processing, 2008