Daniele Marazzina

Polytechnic University of Milan - Department of Mathematics

Via Bonardi, 9

Milano, MI 20133

Italy

SCHOLARLY PAPERS

11

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899

SSRN CITATIONS
Rank 35,988

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Top 35,988

in Total Papers Citations

16

CROSSREF CITATIONS

6

Scholarly Papers (11)

1.

Integrated Structural Approach to Credit Value Adjustment

Number of pages: 36 Posted: 21 Dec 2015 Last Revised: 05 May 2018
Laura Ballotta, Gianluca Fusai and Daniele Marazzina
Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Polytechnic University of Milan - Department of Mathematics
Downloads 318 (124,209)
Citation 3

Abstract:

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Counterparty Credit Risk, Collateral, Dependence, Gap Risk, Initial Margin, Lévy Processes, Netting

2.

Response to ESMA/2016/773: 'The Distributed Ledger Technology Applied to Securities Markets'

Number of pages: 8 Posted: 17 Nov 2018
Digital Gold Institute, Politecnico di Milano - Department of Mathematics, Polytechnic University of Milan - Department of Mathematics and Independent
Downloads 202 (194,981)
Citation 3

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Blockchain, DLT, Distributed Ledger Technology, Securities, Derivatives, Clearing, Bitcoin, ESMA

3.

On the Design of Sovereign Bond-Backed Securities

Number of pages: 29 Posted: 17 Dec 2019
Politecnico di Milano - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College Business School and Polytechnic University of Milan - Department of Mathematics
Downloads 96 (347,818)

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Sovereign bond-backed securities, tranches, diversification, Euro

4.

Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options

European Journal of Operational Research, Volume 251, Issue 1, 16 May 2016, Pages 124-134
Number of pages: 30 Posted: 20 May 2016
Gianluca Fusai, Guido Germano and Daniele Marazzina
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University College London and Polytechnic University of Milan - Department of Mathematics
Downloads 74 (406,476)
Citation 4

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Path-dependent options, Hilbert transform, Lévy process, Spitzer identity, Wiener-Hopf factorization

5.

Hilbert Transform, Spectral Filtering and Option Pricing

Number of pages: 30 Posted: 04 Jul 2017
Carolyn Phelan, Daniele Marazzina, Gianluca Fusai and Guido Germano
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University College London
Downloads 62 (446,080)
Citation 3

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Double-Barrier Options, Discrete Monitoring, Lévy Processes, Spitzer Identity, Wiener-Hopf Factorisation, Hilbert Transform, Fourier Transform, FFT, Z-Transform, Sinc Function, Gibbs Phenomenon, Spectral Filtering

6.

A General Framework for Pricing Asian Options Under Stochastic Volatility on Parallel Architectures

European Journal of Operational Research, 2019, 272(3), 1082-1095
Number of pages: 30 Posted: 27 Feb 2019
University of Naples Parthenope - Department of Management Studies and Quantitative Methods, City University London - Sir John Cass Business School, Polytechnic University of Milan - Department of Mathematics and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 32 (579,659)
Citation 4

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Finance, Parallel Computing, Option Pricing, Asian Option, Stochastic Volatility

7.

On the Application of Wishart Process to the Pricing of Equity Derivatives: The Multi-Asset Case

Number of pages: 30 Posted: 17 Oct 2019
Gaetano La Bua and Daniele Marazzina
Polytechnic University of Milan - Department of Mathematics and Polytechnic University of Milan - Department of Mathematics
Downloads 26 (616,365)
Citation 1

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Wishart process, Calibration, Monte Carlo, Multi Assets

8.

A New Class of Multidimensional Wishart-based Hybrid Models

Number of pages: 27 Posted: 18 Feb 2021
Gaetano La Bua and Daniele Marazzina
Polytechnic University of Milan - Department of Mathematics and Polytechnic University of Milan - Department of Mathematics
Downloads 25 (623,067)
Citation 1

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9.

Health Insurance, Portfolio Choice, and Retirement Incentives

Number of pages: 48 Posted: 12 Oct 2021
Emilio Barucci, Enrico Biffis and Daniele Marazzina
Politecnico di Milano - Department of Mathematics, Imperial College Business School and Polytechnic University of Milan - Department of Mathematics
Downloads 24 (629,967)

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labor market participation, health insurance, portfolio choice, consumption, mortality risk

10.

Pricing Methods for Alpha-Quantile and Perpetual Early Exercise Options Based on Spitzer Identities

Number of pages: 29 Posted: 02 May 2019
Carolyn Phelan, Daniele Marazzina and Guido Germano
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics and University College London
Downloads 20 (658,027)
Citation 2

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Lèvy processes, Spitzer identities, hindsight options, perpetual Bermudan options, perpetual American options

11.

Fluctuation Identities with Continuous Monitoring and Their Application to Price Barrier Options

Number of pages: 30 Posted: 05 Dec 2017
Carolyn Phelan, Daniele Marazzina, Gianluca Fusai and Guido Germano
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University College London
Downloads 20 (658,027)
Citation 2

Abstract:

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Finance, Wiener-Hopf Factorisation, Hilbert Transform, Laplace Transform, Spectral Filter