activity
20082026
most citedA probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

39 citations · 62 across the 18 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

q-fin.PR2013

Utility indifference valuation for non-smooth payoffs with an application to power derivatives

Giuseppe Benedetti, Luciano Campi

We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be pr…

math.PR2013

Explicit construction of a dynamic Bessel bridge of dimension 3

Luciano Campi, Umut Çetin, Albina Danilova

Given a deterministically time-changed Brownian motion starting from 1, whose time-change satisfies for all , we perform an explicit construction of a…