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
Showing 2020Show all
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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…
math.PR2020★ 16 cited
Gamma Related Ornstein-Uhlenbeck Processes and their Simulation
Nicola Cufaro Petroni, Piergiacomo Sabino
We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, resp…