Marina Marena

University of Eastern Piedmont

Assistant Professor

Corso Borsalino 50

Department of Economics and Quantitative Methods

15100 Alessandria

Italy

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 14,451

SSRN RANKINGS

Top 14,451

in Total Papers Downloads

3,330

SSRN CITATIONS

3

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Number of pages: 57 Posted: 01 Aug 2016
Laura Ballotta, Gianluca Fusai and Marina Marena
Sir John Cass Business School - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads 1,426 (12,722)
Citation 1

Abstract:

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Credit Value Adjustment, Debt Value Adjustment, Netting Collateral, Default Risk, Probability of Default

2.

Commodity Asian Options: A Closed-Form Formula

EFA 2008 Athens Meetings Paper
Number of pages: 27 Posted: 06 Mar 2008
Gianluca Fusai, Marina Marena and Andrea Roncoroni
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Eastern Piedmont and ESSEC Business School
Downloads 946 (23,665)
Citation 1

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Asian options, discrete monitoring, Laplace transform, Fourier transform, Commodity

3.

Value at Risk Bounds for Portfolios of Non-Normal Returns

U. of Turin Statistics and Mathematics Working Paper
Number of pages: 22 Posted: 23 Jun 2001
Elisa Luciano and Marina Marena
Collegio Carlo Alberto and University of Eastern Piedmont
Downloads 471 (60,242)
Citation 4

Abstract:

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Value at Risk, Non-normal returns

4.

Copulae as a New Tool in Financial Modelling

Number of pages: 15 Posted: 29 Aug 2005
Elisa Luciano and Marina Marena
Collegio Carlo Alberto and University of Eastern Piedmont
Downloads 307 (99,144)
Citation 2

Abstract:

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Copula functions, multivariate risks, joint distributions

5.

Asian Options with Jumps

Number of pages: 23 Posted: 13 Nov 2015
Marina Marena, Andrea Roncoroni and Gianluca Fusai
University of Eastern Piedmont, ESSEC Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 75 (319,488)
Citation 1

Abstract:

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Asian-style options, Price models with jumps, Transform methods, Com- modity markets, Energy markets

6.

Multivariate Marked Poisson Processes and Market Related Multidimensional Information Flows

Number of pages: 21 Posted: 28 Dec 2016 Last Revised: 18 Feb 2017
Petar Jevtic, Marina Marena and Patrizia Semeraro
McMaster University - Department of Mathematics and Statistics, University of Eastern Piedmont and Politecnico of Turin
Downloads 58 (365,623)

Abstract:

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marked Poisson processes, subordinated Lévy processes, multivariate Poisson random measure, multivariate subordinators, multivariate asset modelling, multivariate variance gamma process

7.

Dependence Calibration and Portfolio Fit with Factor-based Time Changes

Carlo Alberto Notebooks No. 307, October 2013
Number of pages: 35 Posted: 14 Jun 2014
Elisa Luciano, Marina Marena and Patrizia Semeraro
Collegio Carlo Alberto, University of Eastern Piedmont and Politecnico of Turin
Downloads 47 (401,785)
Citation 3

Abstract:

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Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset modelling, multivariate time-changed processes, factor-based time changes