Gianluca Fusai

According to our database, Gianluca Fusai authored at least 16 papers between 2001 and 2022.

Collaborative distances:

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

2022

Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions.

Milan Kumar Das, Henghsiu Tsai, Ioannis Kyriakou, Gianluca Fusai

Oper. Res., 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

2020

General lattice methods for arithmetic Asian options.

Anna Maria Gambaro, Ioannis Kyriakou, Gianluca Fusai

Eur. J. Oper. Res., 2020

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

2017

Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market.

Ruggero Caldana, Gianluca Fusai, Andrea Roncoroni

Eur. J. Oper. Res., 2017

2016

General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options.

Gianluca Fusai, Ioannis Kyriakou

Math. Oper. Res., 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

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

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

2006

An exact analytical solution for discrete barrier options.

Gianluca Fusai, I. David Abrahams, Carlo Sgarra

Finance Stochastics, 2006

2002

Valuation of exotic options using moments.

Mauro D'Amico, Gianluca Fusai, Aldo Tagliani

Oper. Res., 2002

2001

Dynamic value at risk under optimal and suboptimal portfolio policies.

Gianluca Fusai, Elisa Luciano

Eur. J. Oper. Res., 2001