Daniele Marazzina

Polytechnic University of Milan - Department of Mathematics

Via Bonardi, 9

Milano, MI 20133

Italy

SCHOLARLY PAPERS

9

DOWNLOADS

596

SSRN CITATIONS
Rank 44,187

SSRN RANKINGS

Top 44,187

in Total Papers Citations

9

CROSSREF CITATIONS

4

Scholarly Papers (9)

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
Sir John Cass Business School - 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 301 (108,123)
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 102 (279,715)
Citation 3

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

3.

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 60 (380,788)
Citation 3

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

4.

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 51 (410,625)
Citation 2

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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

5.

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 27 (514,669)

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Sovereign bond-backed securities, tranches, diversification, Euro

6.

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 15 (588,269)

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Wishart process, Calibration, Monte Carlo, Multi Assets

7.

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 14 (594,893)

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

8.

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 14 (594,893)
Citation 3

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

9.

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 12 (608,401)

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