Carlo Sgarra

Politecnico di Milano- Dipartimento di Matematica

Piazza Leonardo da Vinci

Milan, Milano 20100

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

830

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (8)

1.

The Risk Premium and the Esscher Transform in Power Markets

Number of pages: 25 Posted: 17 Nov 2009 Last Revised: 20 Nov 2009
Fred Espen Benth and Carlo Sgarra
University of Oslo and Politecnico di Milano- Dipartimento di Matematica
Downloads 249 (133,643)
Citation 2

Abstract:

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Power Market, Derivatives Pricing, Independent Increments Processes, Esscher Transform, Risk Premium

2.

Acceptability Indexes Via 'g-Expectations': An Application to Liquidity Risk

Number of pages: 24 Posted: 23 Mar 2012 Last Revised: 27 Feb 2013
Emanuela Rosazza Gianin and Carlo Sgarra
University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi and Politecnico di Milano- Dipartimento di Matematica
Downloads 152 (209,579)
Citation 5

Abstract:

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Liquidity Risk, Acceptability Indexes, g-expectations, quasi-concave risk measures

3.

A Gamma Ornstein-Uhlenbeck Model Driven by a Hawkes Process

Number of pages: 22 Posted: 09 May 2019 Last Revised: 01 Apr 2020
Natixis Assurances, University of Freiburg, Université Paris VII Denis Diderot and Politecnico di Milano- Dipartimento di Matematica
Downloads 109 (270,286)
Citation 1

Abstract:

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Stochastic volatility, Hawkes processes, Jump clusters, Exponential affine processes, Variance swap, Implied volatility for variance options

4.

Optimal Investment in Markets with Over and Under-Reaction to Information

Number of pages: 27 Posted: 06 Jul 2015
University of Padova, Université d'Évry, Université Paris VII Denis Diderot and Politecnico di Milano- Dipartimento di Matematica
Downloads 95 (296,399)
Citation 2

Abstract:

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Jump-Diffusion Models, Partial Information, Portfolio Optimization, Nonlinear Filtering, Enlargement of Filtrations, Over and Under-Reaction

5.

A Double Correlated Three Factor Model for a Crude Oil Market

Number of pages: 21 Posted: 24 Feb 2015
Gaetano Fileccia and Carlo Sgarra
Polytechnic University of Milan and Politecnico di Milano- Dipartimento di Matematica
Downloads 88 (311,106)

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Bayesian Inference, Commodity Markets, Stochastic Volatility Models, Models with Jumps

6.

Comparison Results for GARCH Processes

Number of pages: 15 Posted: 17 Apr 2012
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Polytechnic University of Turin, Politecnico di Milano- Dipartimento di Matematica and Ferdowsi University of Mashhad (FUM)
Downloads 57 (394,778)
Citation 1

Abstract:

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Garch, Convex Order, Peakedness, Kurtosis, Supermodularity

7.

Asian Options Pricing in Hawkes-Type Jump-Diffusion Models

Number of pages: 17 Posted: 11 Jun 2019
Riccardo Brignone and Carlo Sgarra
University of Freiburg and Politecnico di Milano- Dipartimento di Matematica
Downloads 49 (422,462)

Abstract:

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Asian options, Option pricing, Jumps clustering, Hawkes processes, Affine Processes, COS Method

8.

Self-Exciting Jumps in the Oil Market: Bayesian Estimation and Dynamic Hedging

Number of pages: 38 Posted: 23 Apr 2020
Luca Gonzato and Carlo Sgarra
University of Milano-Bicocca and Politecnico di Milano- Dipartimento di Matematica
Downloads 31 (509,449)

Abstract:

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Hawkes Processes, Jumps Clustering, Oil Price Dynamics, Particle Filtering, Sequential Monte Carlo, Optimal Hedging.