Dynamic value at risk under optimal and suboptimal portfolio policies. - Gianluca Fusai; Elisa Luciano (Eur. J. Oper. Res., 2001)

Valuation of exotic options using moments. - Mauro D'Amico; Gianluca Fusai; Aldo Tagliani (Oper. Res., 2002)

An exact analytical solution for discrete barrier options. - Gianluca Fusai; I. David Abrahams; Carlo Sgarra (Finance Stochastics, 2006)

Option pricing, maturity randomization and grid computing. - Marina Marena; Daniele Marazzina; Gianluca Fusai (IPDPS, 2008)

Option pricing, maturity randomization and distributed computing. - Gianluca Fusai; Daniele Marazzina; Marina Marena (Parallel Comput., 2010)

Pricing Discretely Monitored Asian Options by Maturity Randomization. - Gianluca Fusai; Daniele Marazzina; Marina Marena (SIAM J. Financial Math., 2011)

Pricing exotic derivatives exploiting structure. - Debora Sesana; Daniele Marazzina; Gianluca Fusai (Eur. J. Oper. Res., 2014)

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. - Gianluca Fusai; Guido Germano 001; Daniele Marazzina (Eur. J. Oper. Res., 2016)

General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options. - Gianluca Fusai; Ioannis Kyriakou (Math. Oper. Res., 2016)

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)

Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. - Carolyn E. Phelan; Daniele Marazzina; Gianluca Fusai; Guido Germano 001 (Eur. J. Oper. Res., 2018)

Hilbert transform, spectral filters and option pricing. - Carolyn E. Phelan; Daniele Marazzina; Gianluca Fusai; Guido Germano 001 (Ann. Oper. Res., 2019)

Integrated structural approach to Credit Value Adjustment. - Laura Ballotta; Gianluca Fusai; Daniele Marazzina (Eur. J. Oper. Res., 2019)

General lattice methods for arithmetic Asian options. - Anna Maria Gambaro; Ioannis Kyriakou; Gianluca Fusai (Eur. J. Oper. Res., 2020)

Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms. - Guido Germano 001; Carolyn E. Phelan; Daniele Marazzina; Gianluca Fusai (CoRR, 2021)

Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions. - Milan Kumar Das; Henghsiu Tsai; Ioannis Kyriakou; Gianluca Fusai (Oper. Res., 2022)

Unified Moment-Based Modeling of Integrated Stochastic Processes. - Ioannis Kyriakou; Riccardo Brignone; Gianluca Fusai (Oper. Res., 2024)