7 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.PR2023
Multivariate Lévy models: calibration and pricing
Giovanni Amici, Paolo Brandimarte, Francesco Messeri +1
The goal of this paper is to investigate how the marginal and dependence structures of a variety of multivariate Lévy models affect calibration and pricing. To this aim, we study t…
math.OC2022★ 7 cited
Rolling horizon policies for multi-stage stochastic assemble-to-order problems
Daniele Giovanni Gioia, Edoardo Fadda, Paolo Brandimarte
Assemble-to-order approaches deal with randomness in demand for end items by producing components under uncertainty, but assembling them only after demand is observed. Such plannin…