4 citations · 8 across the 3 of their papers we have counts for
4 papers
A Self-Exciting Modelling Framework for Forward Prices in Power Markets
Giorgia Callegaro, Andrea Mazzoran, Carlo Sgarra
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential ke…
Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps
Friedrich Hubalek, Martin Keller-Ressel, Carlo Sgarra
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which severa…
Comparison results for Garch processes
Fabio Bellini, Franco Pellerey, Carlo Sgarra +1
We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stoch…
A Finite Element Framework for Option Pricing with the Bates Model
Edie Miglio, Carlo Sgarra
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model…