default author photo

Mario Dell'Era

Citigroup

V.P. Quantitative Market Risk Manager

33 Canada Square

London, E14 5LB

United Kingdom

http://www.citigroup.com/citi/

SCHOLARLY PAPERS

8

DOWNLOADS

104

TOTAL CITATIONS

0

Scholarly Papers (8)

Actions:
Email selected abstracts
1.

Policy and Artificial Intelligence Advent

Number of pages: 9 Posted: 22 Oct 2019
Mario Dell'Era and Anita Rahova
Citigroup and affiliation not provided to SSRN
Downloads 104 (679,608)

Abstract:

Loading...

Machine Learning, NPL, ESG, Policy

2.

Local Volatility and Hopfield Neural Network

Posted: 07 Jul 2022
Mario Dell'Era
Citigroup

Abstract:

Loading...

Neural Networks, Quantitative Finance, Numerical Methods, Volatility Surface

3.

Gas Storage Evaluation

Posted: 17 May 2019
Mario Dell'Era and Jessica Milesi
Citigroup and affiliation not provided to SSRN

Abstract:

Loading...

Commodities, Exotic Options, Quantitative Finance

4.

Geometrical Approximation and Perturbative Methods for PDEs in Finance

M. Dell'Era, Geometrical Approximation and Perturbative Methods for PDEs in Finance, Lambert Academic Publishing, 2012
Posted: 18 May 2014
Mario Dell'Era
Citigroup

Abstract:

Loading...

Numerical Methods, Option Pricing, Stochastic Volatility models

5.

Closed Form Solution for Heston PDE by Geometrical Transformations

Asian Economic and Financial Review, Forthcoming
Posted: 22 Oct 2012 Last Revised: 03 Jul 2019
Mario Dell'Era
Citigroup

Abstract:

Loading...

Option Pricing, Heston Model

6.

Geometrical Approximation Method for Sensible Parameter Set in the Heston and SABR Model

International Review of Finance, Forthcoming
Posted: 06 Jul 2011
Mario Dell'Era
Citigroup

Abstract:

Loading...

Option Pricing, Heston model, SABR model

7.

Vanilla Option Pricing in Stochastic Volatility Market Models

International Review of Applied Financial issues and Economics, Forthcoming
Posted: 06 Jul 2011 Last Revised: 03 Jul 2019
Mario Dell'Era
Citigroup

Abstract:

Loading...

Option Pricing, Stochastic volatility model

8.

Geometrical Approximation Method and Stochastic Volatility Market Models

International Review of Applied Financial Issues and Economics, Forthcoming
Posted: 06 Jul 2011
Mario Dell'Era
Citigroup

Abstract:

Loading...

Other Papers (1)

Total Downloads: 128
Actions:
Email selected abstracts
1.

Perturbative Method: Barrier Option Pricing in Stochastic Volatility Market Models

China-USA Business Review, Forthcoming
Number of pages: 14 Posted: 06 Jul 2011 Last Revised: 17 May 2014
Mario Dell'Era
Citigroup
Downloads 128 (247,454)

Abstract:

Loading...

Barrier Option Pricing, Stochastic volatility models