4 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.ST2019★ 4 cited
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…
q-fin.CP2008★ 3 cited
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…