4 citations · 4 across the 2 of their papers we have counts for
3 papers
Novel exact solutions for PDEs with mixed boundary conditions
Mark Craddock, Martino Grasselli, Andrea Mazzoran
We develop methods for the solution of inhomogeneous Robin type boundary value problems (BVPs) that arise for certain linear parabolic Partial Differential Equations (PDEs) on a ha…
A general framework for a joint calibration of VIX and VXX options
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the…
A Self-Exciting Modelling Framework for Forward Prices in Power Markets
Giorgia Callegaro, Andrea Mazzoran, Carlo Sgarra
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential ke…