18 citations · 80 across the 19 of their papers we have counts for
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Efficient Simulation of -Tempered -Stable OU Processes
Michael Grabchak, Piergiacomo Sabino
We develop efficient methods for simulating processes of Ornstein-Uhlenbeck type related to the class of -tempered -stable ($\ts$) distributions. Our results hold for both th…
Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes
Nicola Cufaro Petroni, Piergiacomo Sabino
Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the prope…
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…
Correlated Poisson processes and self-decomposable laws
Nicola Cufaro Petroni, Piergiacomo Sabino
We analyze a method to produce pairs of non independent Poisson processes from positively correlated, self-decomposable, exponential renewals. In particular the present…
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…