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

Sir John Cass 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

22

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CITATIONS
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3

Scholarly Papers (22)

1.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Laura Ballotta and Gianluca Fusai
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 1,550 (10,686)

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

2.

Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction

Number of pages: 319 Posted: 10 Jun 2018
Laura Ballotta and Gianluca Fusai
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 1,468 (11,634)

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

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
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 1,373 (13,002)

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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 940 (23,011)

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

5.

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 340 (86,106)
Citation 1

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

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 302 (97,788)
Citation 1

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

7.

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
Sir John Cass Business School - 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 278 (106,856)

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

8.

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
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 205 (144,983)

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

9.

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 Orientale, Deloitte Consulting Srl, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 190 (155,632)

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

10.

Default Risk Premium in Credit and Equity Markets

Number of pages: 46 Posted: 30 May 2015 Last Revised: 16 Feb 2018
Raffaele Corvino and Gianluca Fusai
City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 189 (156,370)

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Structural Estimation, Kalman Filter, Default Risk, Distress Puzzle

11.

Estimation of Multivariate Asset Models with Jumps

Number of pages: 33 Posted: 21 Apr 2015 Last Revised: 21 Sep 2018
ARPM, Sir John Cass Business School - 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 163 (178,222)

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

12.

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 Orientale, Deloitte Consulting Srl, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 160 (181,029)

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

13.

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 154 (186,964)

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

14.

Approximate Pricing of Swaptions in Affine and Quadratic Models

Number of pages: 39 Posted: 15 Sep 2015 Last Revised: 09 Jul 2016
Anna Gambaro, Ruggero Caldana and Gianluca Fusai
University of Piemonte Orientale, Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 118 (230,796)

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

15.

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 93 (271,947)

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

16.

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 73 (314,786)

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

17.

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 64 (337,744)

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18.

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 49 (382,876)

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

19.

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 42 (407,465)

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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

20.

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 City University London - Sir John Cass Business School
Downloads 38 (422,791)

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

21.

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 10 (567,713)

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

22.

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 1 (633,452)
Citation 1
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