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q-fin.RM2025
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…
math.NA2025
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…
math.AP2025
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…