Zelda Marino

University of Naples Parthenope - Department of Management Studies and Quantitative Methods

Via Medina 40

Via Generale Parisi, 13

Naples, 80133

United States

SCHOLARLY PAPERS

2

DOWNLOADS

242

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

An Investigation of Machine Learning Approaches in the Solvency II Valuation Framework

Number of pages: 25 Posted: 03 Jan 2019
University of Rome I, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, La Sapienza, University of Rome, University of Naples Parthenope - Department of Management Studies and Quantitative Methods, University of naples "Parthenope" Department of Economic and Legal Studies and University of Naples Parthenope - Department of Management Studies and Quantitative Methods
Downloads 235 (130,009)

Abstract:

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Solvency II, Nested Monte Carlo, With-Profit Insurance Policies, Least Squares Monte Carlo, Support Vector Machines, Deep Learning

2.

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 7 (601,509)

Abstract:

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