Ruggero Caldana

Independent

SCHOLARLY PAPERS

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Scholarly Papers (4)

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1.

A General Closed-Form Spread Option Pricing Formula

Number of pages: 36 Posted: 18 Jan 2014
Ruggero Caldana and Gianluca Fusai
Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 513 (112,887)
Citation 5

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Spread option, exchange option, stochastic process, characteristic function, Fourier inversion, control variate.

2.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Ruggero Caldana, Gianluca Fusai, Alessandro Gnoatto and Martino Grasselli
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 461 (128,286)
Citation 12

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Basket option, Lower Bound, Non Gaussian models, Upper Bound, Fourier Transform, Exotic option

3.

Electricity Forward Curves with Thin Granularity

Number of pages: 43 Posted: 12 May 2016 Last Revised: 12 Feb 2017
Ruggero Caldana, Gianluca Fusai and Andrea Roncoroni
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and ESSEC Business School
Downloads 388 (156,702)
Citation 3

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Energy Finance, Forward Pricing, Electricity Markets, Forward Curve Construction

4.

Approximate Pricing of Swaptions in Affine and Quadratic Models

Number of pages: 39 Posted: 15 Sep 2015 Last Revised: 09 Jul 2016
Anna Gambaro, Anna Gambaro, Ruggero Caldana and Gianluca Fusai
University of Piemonte OrientaleUniversità del Piemonte Orientale, Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 234 (266,351)
Citation 1

Abstract:

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Pricing, swaptions, affine-quadratic models, Fourier transform, bounds