118 citations
- University of PaduaIT28 papers
- Centre National de la Recherche ScientifiqueFR3 papers
- Laboratoire Jacques-Louis LionsFR3 papers
- Sorbonne UniversitéFR3 papers
- Vrije Universiteit AmsterdamNL3 papers
- Institut de recherche mathématique de RennesFR2 papers
- Institut national de recherche en sciences et technologies du numériqueFR2 papers
- New York UniversityUS2 papers
- SUNY KoreaKR2 papers
- Université de StrasbourgFR2 papers
- University of AmsterdamNL2 papers
- University of PalermoIT2 papers
5 papers · 1 filter
Hard-congestion limit of the p-system in the BV setting
Fabio Ancona, Roberta Bianchini, Charlotte Perrin
This note is concerned with the rigorous justification of the so-called hard congestion limit from a compressible system with singular pressure towards a mixed compressible-incompr…
Optimal exercise of American options under time-dependent Ornstein-Uhlenbeck processes
Abel Azze, Bernardo D'Auria, Eduardo García-Portugués
We study the barrier that gives the optimal time to exercise an American option written on a time-dependent Ornstein--Uhlenbeck process, a diffusion often adopted by practitioners…
Valuation of general GMWB annuities in a low interest rate environment
Claudio Fontana, Francesco Rotondi
Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of…
CBI-time-changed Lévy processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We introduce and study the class of CBI-time-changed Lévy processes (CBITCL), obtained by time-changing a Lévy process with respect to an integrated continuous-state branching proc…
A few results on permittivity variations in electromagnetic cavities
Paolo Luzzini, Michele Zaccaron
We study the eigenvalues of time-harmonic Maxwell's equations in a cavity upon changes in the electric permittivity of the medium. We prove that all the eigenvalues,…