18 citations · 96 across the 20 of their papers we have counts for
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math.NA2016★ 5 cited
Sensitivity analysis of the LWR model for traffic forecast on large networks using Wasserstein distance
Maya Briani, Emiliano Cristiani, Elisa Iacomini
In this paper we investigate the sensitivity of the LWR model on network to its parameters and to the network itself. The quantification of sensitivity is obtained by measuring the…
q-fin.CP2016★ 5 cited
Numerical stability of a hybrid method for pricing options
Maya Briani, Lucia Caramellino, Giulia Terenzi +1
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of…