Giuseppe Alesii

University of L'Aquila - Department of Information Engineering, Computer Science

Associate Professor

Via Vetoio

Coppito 1

Coppito di L'Aquila AQ, AQ 67010

Italy

  • University of L'Aquila - Department of Information Engineering, Computer Science

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    • Tel: 0039-862-433156
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SCHOLARLY PAPERS

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Scholarly Papers (7)

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1.

Value at Risk (VAR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 3,150 (6,627)
Citation 1

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Real Options, Value at Risk, VaR, Cash Flow at Risk, CFaR, C-FaR, Monte Carlo, Markov Chain, Cost Volume Profit equation, mapping equation, Corporatemetrics, NERA, Risk Capital Management Partners, shipping finance, VLCC, Panamax, dry bulk carrier, time charter, GMM, MLE, OLS. Option to wait

2.

Kulatilaka '88 as a Cvp Analysis in a Real Option Framework: A Review, Gauss Codes and Numerical Examples

Universita degli Studi - L'Aquila, Facolta di Economia, Dip. di Sistemi ed Istituzioni per l'Economia Serie Working Papers di Economia Aziendale
Number of pages: 53 Posted: 15 Mar 2001
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 1,504 (21,122)
Citation 3

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Real options, Switching option, Abandonment option, Mothballing option, Bellman Dynamic Programming, hysteresis, Ornstein Uhlenbeck, GAUSS codes

3.

Rules of Thumb in Real Options Analysis

Number of pages: 28 Posted: 15 Jun 2004
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 1,197 (29,629)
Citation 1

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Real Options, Internal Rate of Return, IRR, Payback Period, PBP, Net Present Value, NPV

4.

Holding Companies Discounts: Some Evidence from the Milan Stock Exchange

EFMA 2001 Lugano Meetings
Number of pages: 63 Posted: 19 May 2000
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 613 (73,740)

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5.

Kulatilaka '93: The Case of a Dual Fuel Boiler: A Review, Gauss Codes and Numerical Examples

Universita degli Studi - L'Aquila, Facolta di Economia, Dip. di Sistemi ed Istituzioni per l'Economia Serie Working Papers di Economia Aziendale
Number of pages: 45 Posted: 15 Mar 2001
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 518 (90,924)

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Real options, switching option, hydrocarbons, Bellman Dynamic Programming, Ornstein Uhlenbeck, GMM, MLE, GAUSS codes

6.

Assessing Least Squares Monte Carlo for the Kulatilaka Trigeorgis General Real Options Pricing Model

Istituto per le Applicazioni del Calcolo "Mauro Picone" IAC Report Series n.147 6/2008
Number of pages: 88 Posted: 30 Jun 2008
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 277 (183,605)
Citation 3

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Least Squares Monte Carlo, LSMC, Real Options, multi dimensional binomial lattices, moment matching, GBM, Geometric Ornstein Uhlenbeck, Two Factor Model, Three Factor Model, stochastic interest rates

7.

Going Parallel Over the Rainbow

Number of pages: 30 Posted: 08 Dec 2013
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 125 (370,910)

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multivariate binomial lattice, multivariate trinomial lattice, parallel computing, HPC, multicore CPU, multithreaded programming, pthreads, OpenMP