196 citations
- Istituto Nazionale di Fisica Nucleare, Sezione di BariIT4 papers
- University of Bari Aldo MoroIT4 papers
- IBM Research - IrelandIE2 papers
- IBM Research - Thomas J. Watson Research CenterUS2 papers
- Australian National UniversityAU1 paper
- Carnegie Institution for ScienceUS1 paper
- Carnegie ObservatoriesUS1 paper
- Forschungszentrum JülichDE1 paper
- IBM (India)IN1 paper
- IBM Research - IndiaIN1 paper
- IBM Research - ZurichCH1 paper
- Johannes Gutenberg University MainzDE1 paper
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q-fin.CP2020★ 15 cited
Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives
Piergiacomo Sabino
In this study we define a three-step procedure to relate the self-decomposability of the stationary law of a generalized Ornstein-Uhlenbeck process to the law of the increments of…
q-fin.CP2019★ 18 cited
Fast Pricing of Energy Derivatives with Mean-reverting Jump-diffusion Processes
Nicola Cufaro Petroni, Piergiacomo Sabino
Most energy and commodity markets exhibit mean-reversion and occasional distinctive price spikes, which results in demand for derivative products which protect the holder against h…
q-fin.CP2011★ 5 cited
Multidimensional Quasi-Monte Carlo Malliavin Greeks
Nicola Cufaro Petroni, Piergiacomo Sabino
We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the form…