5 papers
Carbon-Sensitive Fund Construction and Hedging for Green Unit-Linked Life Insurance
Katia Colaneri, Alessandra Cretarola, Edoardo Lombardo +1
We study the problem of hedging unit linked life insurance policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. O…
Approximation and regularity results for the Heston model and related processes
Edoardo Lombardo
This Ph.D. thesis explores approximations and regularity for the Heston stochastic volatility model through three interconnected works. The first work focuses on developing high-or…
Some PDE results in Heston model with applications
Edoardo Lombardo
We present here some results for the PDE related to the logHeston model. We present different regularity results and prove a verification theorem that shows that the solution produ…
High order approximations and simulation schemes for the log-Heston process
Aurélien Alfonsi, Edoardo Lombardo
We present weak approximations schemes of any order for the Heston model that are obtained by using the method developed by Alfonsi and Bally (2021). This method consists in combin…
High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
Aurélien Alfonsi, Edoardo Lombardo
We present new high order approximations schemes for the Cox-Ingersoll-Ross (CIR) process that are obtained by using a recent technique developed by Alfonsi and Bally (2021) for th…