3 citations · 5 across the 7 of their papers we have counts for
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q-fin.MF2015
Can You hear the Shape of a Market? Geometric Arbitrage and Spectral Theory
Simone Farinelli, Hideyuki Takada
Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre…
q-fin.RM2015
Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective
Simone Farinelli, Luisa Tibiletti
Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry i…