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- Istituto Nazionale di Fisica Nucleare, Sezione di BariIT45 papers
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5 papers · 1 filter
Some limit theorems for rescaled Wick powers
Alberto Lanconelli
We establish the strong L2(P)-convergence of properly rescaled Wick powers as the power index tends to infinity. The explicit representation of such limit will also provide the con…
Implementing Quasi-Monte Carlo Simulations with Linear Transformations
Piergiacomo Sabino
Pricing exotic multi-asset path-dependent options requires extensive Monte Carlo simulations. In the recent years the interest to the Quasi-monte Carlo technique has been renewed a…
Monte Carlo Methods and Path-Generation techniques for Pricing Multi-asset Path-dependent Options
Piergiacomo Sabino
We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian option…
On a new version of the Ito's formula for the stochastic heat equation
Alberto Lanconelli
We derive an Itô's-type formula for the one dimensional stochastic heat equation driven by a space-time white noise. The proof is based on elementary properties of the $\mathcal{S}…
Mixtures in non stable Levy processes
Nicola Cufaro Petroni
We analyze the Levy processes produced by means of two interconnected classes of non stable, infinitely divisible distribution: the Variance Gamma and the Student laws. While the V…