Gianluca Fusai

Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa

Full Professor

Via Perrone, 18

Novara, 28100

Italy

http://https://upobook.uniupo.it/gianluca.fusai

Bayes Business School - City, University of London

106 Bunhill Row

London, EC2Y 8HB

Great Britain

http:// www.cass.city.ac.uk/experts/G.Fusai

SCHOLARLY PAPERS

29

DOWNLOADS
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12,558

SSRN CITATIONS
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SSRN RANKINGS

Top 17,320

in Total Papers Citations

36

CROSSREF CITATIONS

26

Scholarly Papers (29)

1.

Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction

Number of pages: 319 Posted: 10 Jun 2018
Laura Ballotta and Gianluca Fusai
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 3,061 (6,044)

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Stochastic Calculus, Heston model, Jump models, Brownian motion, mathematical finance

2.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Laura Ballotta and Gianluca Fusai
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 2,059 (11,408)
Citation 2

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Value at Risk, Parametric, Non Parametric, Delta-Gamma, Portfolio Modelling, Backtesting

3.

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
Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads 1,938 (12,550)
Citation 1

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

4.

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 994 (34,068)
Citation 1

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

5.

Equally Diversified or Equally Weighted?

Number of pages: 22 Posted: 09 Jul 2020
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Qatar Investment Authority, Sarasin & Partners LLP and Sarasin & Partners
Downloads 559 (73,160)

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Diversification Measure, Portfolio Allocation, Risk Contribution, Euler decomposition

6.

A General Closed-Form Spread Option Pricing Formula

Number of pages: 36 Posted: 18 Jan 2014
Ruggero Caldana and Gianluca Fusai
Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 404 (107,871)
Citation 5

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Spread option, exchange option, stochastic process, characteristic function, Fourier inversion, control variate.

7.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 398 (109,787)
Citation 12

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Basket option, Lower Bound, Non Gaussian models, Upper Bound, Fourier Transform, Exotic option

8.

A Market Consistent Framework for the Fair Evaluation of Insurance Contracts Under Solvency II

Number of pages: 36 Posted: 02 Feb 2018 Last Revised: 29 Apr 2018
University of Piemonte OrientaleUniversità del Piemonte Orientale, UnipolSai Assicurazioni SpA, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 388 (112,967)
Citation 3

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Solvency II, economic scenario generator, minimum guaranteed option, sensitivity analysis

9.

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 329 (135,551)
Citation 3

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

10.

Electricity Forward Curves with Thin Granularity

Number of pages: 43 Posted: 12 May 2016 Last Revised: 12 Feb 2017
Ruggero Caldana, Gianluca Fusai and Andrea Roncoroni
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and ESSEC Business School
Downloads 262 (171,361)
Citation 3

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Energy Finance, Forward Pricing, Electricity Markets, Forward Curve Construction

11.

Default Risk Premium and Asset Prices

Number of pages: 65 Posted: 30 May 2015 Last Revised: 11 May 2022
Raffaele Corvino and Gianluca Fusai
University of Torino & CERP and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 256 (175,348)
Citation 1

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Default Risk, Risk Premium, Structural Model, Assets Value, Business Cycle

12.

Counterparty Credit Risk in a Multivariate Structural Model with Jumps

Number of pages: 39 Posted: 09 Feb 2013 Last Revised: 11 Oct 2014
Laura Ballotta and Gianluca Fusai
Bayes Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 227 (196,892)
Citation 3

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Counterparty Risk, Credit Value Adjustment, Debt Value Adjustment, Levy Processes, Normal Inverse Gaussian, Wrong Way Risk

13.

Estimation of Multivariate Asset Models with Jumps

Number of pages: 33 Posted: 21 Apr 2015 Last Revised: 21 Sep 2018
affiliation not provided to SSRN, Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Wilfrid Laurier University - School of Business & Economics
Downloads 226 (197,696)

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Multivariate Lévy models, Jump models, Factor models, Principal Components, Maximum Likelihood, EM algorithm, Intra-horizon Value at Risk

14.

Incremental Volatility and Related Portfolio Analytics

Number of pages: 28 Posted: 14 Jul 2021 Last Revised: 11 Oct 2022
Domenico Mignacca and Gianluca Fusai
Qatar Investment Authority and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 205 (216,554)

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Incremental Volatility, Marginal Volatility, Hot Spot, Best Hedge

15.

Quantitative Assessment of Common Practice Procedures in the Fair Evaluation of Embedded Options in Insurance Contracts

Number of pages: 28 Posted: 18 Nov 2016 Last Revised: 28 Sep 2017
University of Piemonte OrientaleUniversità del Piemonte Orientale, UnipolSai Assicurazioni SpA, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 203 (218,448)
Citation 2

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Minimum Guaranteed Fund, Segregated Insurance Fund, Embedded Options, Credit Risk, Liquidity Risk

16.

Approximate Pricing of Swaptions in Affine and Quadratic Models

Number of pages: 39 Posted: 15 Sep 2015 Last Revised: 09 Jul 2016
University of Piemonte OrientaleUniversità del Piemonte Orientale, Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 171 (253,595)
Citation 1

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Pricing, swaptions, affine-quadratic models, Fourier transform, bounds

17.

Practical Problems in the Numerical Solution of PDE's in Finance

Rendiconti per gli Studi Economici Quantitativi, Università Ca’ Foscari Venezia, Vol. 2001 (2002), 105-132.
Number of pages: 25 Posted: 30 Mar 2013 Last Revised: 02 Apr 2013
Gianluca Fusai, Simona Sanfelici and Aldo Tagliani
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Parma - Dipartimento di Economia and University of Trento - Department of Economics and Management
Downloads 150 (282,666)

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Numerical Solution of PDE, Finite Difference, Finite Elements, Black-Scholes model, Discontinuous Payoff

18.

New Efficient Frontier: Can Structured Products Really Improve Risk-Return Profile?

CAREFIN Research Paper No. 28/2010
Number of pages: 41 Posted: 05 Apr 2011
Gianluca Fusai and Giovanna Zanotti
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Bergamo
Downloads 113 (349,553)

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19.

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 99 (382,088)
Citation 1

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

20.

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 84 (423,220)
Citation 4

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

21.

General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

Mathematics of Operations Research, 2016, 41(2), 531-559
Number of pages: 37 Posted: 04 May 2016 Last Revised: 06 May 2016
Gianluca Fusai and Ioannis Kyriakou
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 79 (438,514)
Citation 10

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arithmetic Asian options, CEV diffusion, stochastic volatility models, Lévy processes, discrete average, continuous average

22.

Hilbert Transform, Spectral Filtering and Option Pricing

Number of pages: 30 Posted: 04 Jul 2017
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 73 (458,403)
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

23.

Unified Moment-Based Modelling of Integrated Stochastic Processes

Number of pages: 57 Posted: 27 Aug 2021
Ioannis Kyriakou, Riccardo Brignone and Gianluca Fusai
Bayes Business School (formerly Cass), City, University of London, University of Freiburg and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 66 (483,256)

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24.

Moment-Matching Approximations for Stochastic Sums in Non-Gaussian Ornstein–Uhlenbeck Models

Insurance: Mathematics and Economics, 2021, 96, 232-247
Number of pages: 35 Posted: 28 Jan 2021 Last Revised: 26 Jul 2021
Riccardo Brignone, Ioannis Kyriakou and Gianluca Fusai
University of Freiburg, Bayes Business School (formerly Cass), City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 63 (494,962)

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Mean reversion, non-Gaussian processes, moment-matching, Asian option valuation, stochastic annuities

25.

Spread Options on Commodity Prices

Number of pages: 30 Posted: 07 Jul 2022
Carme Frau, Gianluca Fusai and Ioannis Kyriakou
University of Balearic Islands, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 62 (498,827)

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Commodities, crack spread option, calendar spread option, joint characteristic function, Fourier inversion, Fourier transform, analytical solution

26.

Component Replacement Under Uncertainty - A Switching Option Perspective

Number of pages: 33 Posted: 10 Mar 2021
Gianluca Fusai, Ioannis Kyriakou and Matteo Castiglioni
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Bayes Business School (formerly Cass), City, University of London and affiliation not provided to SSRN
Downloads 34 (635,547)

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Component replacement, uncertainty, switching option, cost-effectiveness analysis

27.

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

Number of pages: 30 Posted: 05 Dec 2017
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 28 (675,480)
Citation 2

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

28.

Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions

Operations Research, Forthcoming
Number of pages: 24 Posted: 04 Apr 2022
Academia Sinica - Institute of Statistical Science, Academia Sinica - Institute of Statistical Science, Bayes Business School (formerly Cass), City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 23 (713,492)

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Stochastic sum, probability distribution, matrix exponential and column vector differentiation, Pearson curve fit, pricing

29.

The Wiener–Hopf Technique and Discretely Monitored Path-Dependent Option Pricing

Mathematical Finance, Vol. 20, Issue 2, pp. 259-288, April 2010
Number of pages: 30 Posted: 29 Mar 2010
Ross Green, Gianluca Fusai and I. David Abrahams
affiliation not provided to SSRN, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and affiliation not provided to SSRN
Downloads 4 (898,790)
Citation 1

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Other Papers (1)

Total Downloads: 58
1.

Interest Rate Structured Products: Can They Improve the Risk-return Profile?

Number of pages: 47 Posted: 06 Sep 2012 Last Revised: 27 May 2021
Gianluca Fusai, Giovanni Longo and Giovanna Zanotti
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Università del Piemonte Orientale - DiSEI and University of Bergamo
Downloads 58 (437,269)

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Structured products, efficient frontier, risk-return trade-off, Monte Carlo simulation, Interest rate modelling