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

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

  • Bayes Business School - City, University of London

SCHOLARLY PAPERS

37

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18,530

TOTAL CITATIONS
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SSRN RANKINGS

Top 16,447

in Total Papers Citations

81

Scholarly Papers (37)

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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 4,595 (4,635)

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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 2,633 (11,342)
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 2,514 (12,200)
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 1,061 (45,603)
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
Gianluca Fusai, Domenico Mignacca, Andrea Nardon and Ben Human
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Qatar Investment Authority, Sarasin & Partners LLP and Sarasin & Partners
Downloads 792 (68,226)
Citation 1

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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 557 (107,490)
Citation 5

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

7.

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
Anna Gambaro, Anna Gambaro, Riccardo Casalini, Gianluca Fusai and Alessandro Ghilarducci
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 495 (124,037)
Citation 3

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

8.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Ruggero Caldana, Gianluca Fusai, Alessandro Gnoatto and Martino Grasselli
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 475 (130,262)
Citation 12

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

9.

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 431 (146,250)
Citation 3

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

10.

Converting a Covariance Matrix From Local Currencies to a Common Currency

Number of pages: 11 Posted: 25 May 2023 Last Revised: 31 May 2023
Gianluca Fusai, Domenico Mignacca and Khalifa Al-Thani
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Qatar Investment Authority and Qatar Investment Authority
Downloads 406 (156,722)
Citation 1

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Covariance matrix, Currency, Portfolio Choice, Investment decisions

11.

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 381 (168,242)
Citation 7

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

12.

Risk Parity, Maximum Diversification and Conviction

No
Number of pages: 31 Posted: 04 Feb 2025 Last Revised: 31 Mar 2025
Gianluca Fusai and Domenico Mignacca
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Qatar Investment Authority
Downloads 364 (179,214)

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C13 -Estimation: General, C58 -Financial Econometrics, G11 -Portfolio Choice, Investment Decisions portfolio selection, risk based strategies, risk parity, maximum diversification

13.

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 338 (191,992)
Citation 3

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

14.

Inconsistency of the Capital Asset Pricing Model in a Multi-Currency Environment

Number of pages: 13 Posted: 02 Jun 2023
Khalifa Al-Thani, Domenico Mignacca, Gianluca Fusai, Fabio Caccioli and Guido Germano
Qatar Investment Authority, Qatar Investment Authority, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University College London and University College London
Downloads 318 (205,016)

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CAPM, Asset Pricing, Asset Allocation, Portfolio Construction

15.

Estimation of Multivariate Asset Models with Jumps

Number of pages: 33 Posted: 21 Apr 2015 Last Revised: 21 Sep 2018
Angela Loregian, Laura Ballotta, Gianluca Fusai and M. Fabricio Perez
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 286 (229,572)
Citation 2

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

16.

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 263 (250,135)
Citation 5

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

17.

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
Anna Gambaro, Anna Gambaro, Riccardo Casalini, Gianluca Fusai and Alessandro Ghilarducci
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 245 (268,602)
Citation 2

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

18.

Approximate Pricing of Swaptions in Affine and Quadratic Models

Number of pages: 39 Posted: 15 Sep 2015 Last Revised: 09 Jul 2016
Anna Gambaro, Anna Gambaro, Ruggero Caldana and Gianluca Fusai
University of Piemonte OrientaleUniversità del Piemonte Orientale, Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 238 (276,334)
Citation 1

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

19.

Spread Options on Commodity Prices

Number of pages: 30 Posted: 07 Jul 2022
Carme Frau, Gianluca Fusai and Ioannis Kyriakou
Universitat de les Illes Balears, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 228 (288,197)

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

20.

Energy Commodities and Calendar Spread Options

Number of pages: 33 Posted: 19 Jul 2023 Last Revised: 18 Sep 2024
Carme Frau, Gianluca Fusai and Ioannis Kyriakou
Universitat de les Illes Balears, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 223 (294,407)

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Energy commodities, bivariate processes, calendar spread option, joint characteristic function, analytical solution

21.

Unified Moment-Based Modelling of Integrated Stochastic Processes

Operations Research, 2024, 72(4), pp. 1630–1653
Number of pages: 70 Posted: 27 Aug 2021 Last Revised: 27 Aug 2024
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 217 (302,265)
Citation 5

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22.

Who and why will leave me? Utilizing Machine Learning-Based Models to Anticipate and Manage Employee Turnover

Number of pages: 44 Posted: 01 Apr 2024
Chiara Morelli, Gianluca Fusai and Raffaele Zenti
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Wealthype SpA
Downloads 209 (313,165)
Citation 3

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Machine Learning, Data Science, employee turnover, HR analytics, ensemble prediction models, multi‐level modelling, performance metrics, data imbalance

23.

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 209 (313,165)

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

24.

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 165 (388,124)

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25.

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 156 (407,183)
Citation 1

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

26.

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 146 (429,974)
Citation 13

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

27.

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

European Journal of Operational Research 251 (1), 124-134, 2017, DOI 10.1016/j.ejor.2015.11.027
Number of pages: 30 Posted: 20 May 2016 Last Revised: 13 Mar 2025
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 143 (437,272)
Citation 4

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

28.

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 124 (490,017)
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

29.

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 117 (512,254)

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

30.

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

Operations Research, Forthcoming
Number of pages: 24 Posted: 04 Apr 2022
Milan Kumar Das, Henghsiu Tsai, Ioannis Kyriakou and Gianluca Fusai
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 59 (778,396)

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

31.

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 49 (851,541)
Citation 3

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

32.

Calibration risk under probabilistic parameter dependencies and model output effects

Number of pages: 58 Posted: 03 Jan 2025
Gianluca Fusai, Marina Marena and Ioannis Kyriakou
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Torino - Department of Economics and Statistics and Bayes Business School (formerly Cass), City, University of London
Downloads 41 (920,493)

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Finance, asset price models, calibration risk, model outputs, global sensitivity analysis

33.

Average-type real options: An empirical multi-factor demand model

Number of pages: 25 Posted: 21 Mar 2024
Anna Gambaro, Anna Gambaro, Ioannis Kyriakou and Gianluca Fusai
University of Piemonte OrientaleUniversità del Piemonte Orientale, Bayes Business School (formerly Cass), City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 35 (979,362)

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Capacity planning, real options, averaging, stochastic demand estimation

34.

Risk management of climate impact for tourism operators: An empirical analysis on ski resorts

Number of pages: 33 Posted: 07 Mar 2025
Laura Ballotta, Gianluca Fusai, Ioannis Kyriakou, Nikos C. Papapostolou and Panos Pouliasis
Bayes Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Bayes Business School (formerly Cass), City, University of London, Cass Business School, City, University of London and City University London
Downloads 16 (1,202,509)

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Ski tourism, Climate change, Weather variables, Block bootstrap, Risk management, Options, Profitability, Weather derivatives

35.

A comparative analysis of stochastic models in flexible strategies

Number of pages: 34
Cristina Bertolosi, Gianluca Fusai and Ioannis Kyriakou
affiliation not provided to SSRN, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 1

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Real options, investment, uncertainty, optimal switching

36.

Incremental Volatility and Related Portfolio Analytics

The Journal of Portfolio Management, April 2023, 49 (5) 131-147 DOI: 10.3905/jpm.2023.1.476
Posted: 14 Jul 2021 Last Revised: 17 Apr 2024
Domenico Mignacca and Gianluca Fusai
Qatar Investment Authority and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa

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Incremental Volatility, Marginal Volatility, Hot Spot, Best Hedge

37.

Operational flexibility and firm risk: a real options perspective

Number of pages: 27
Cristina Bertolosi, Gianluca Fusai and Ioannis Kyriakou
affiliation not provided to SSRN, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Bayes Business School (formerly Cass), City, University of London
Downloads 0

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Operational flexibility, implied volatility, cost of equity, uncertainty

Other Papers (1)

Total Downloads: 96
Actions:
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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 96 (437,269)

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