2 citations · 2 across the 6 of their papers we have counts for
7 papers
A unifying view on the irreversible investment exercise boundary in a stochastic, time-inhomogeneous capacity expansion problem
Maria B. Chiarolla
This paper devises a way to apply the Bank and El Karoui Representation Theorem to find the investment boundary of a rich stochastic, continuous time capacity expansion problem wit…
An analytical study of participating policies with minimum rate guarantee and surrender option
Maria B. Chiarolla, Tiziano De Angelis, Gabriele Stabile
We perform a detailed theoretical study of the value of a class of participating policies with four key features: the policyholder is guaranteed a minimum interest rate on th…
Optimal Dynamic Procurement Policies for a Storable Commodity with Lévy Prices and Convex Holding Costs
Maria B. Chiarolla, Giorgio Ferrari, Gabriele Stabile
In this paper we study a continuous time stochastic inventory model for a commodity traded in the spot market and whose supply purchase is affected by price and demand uncertainty.…
Analytical Pricing of American Bond Options in the Heath-Jarrow-Morton Model
Maria B. Chiarolla, Tiziano De Angelis
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in the Musiela's parametrization of the Heath-Jarrow-Morton (HJM) model for forw…
Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality
M. B. Chiarolla, T. De Angelis
A finite horizon optimal stopping problem for an infinite dimensional diffusion is analyzed by means of variational techniques. The diffusion is driven by a SDE on a Hilbert sp…
Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Maria B. Chiarolla, Giorgio Ferrari, Frank Riedel
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dep…
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank-El Karoui Representation Theorem
Maria B. Chiarolla, Giorgio Ferrari
We study a stochastic, continuous time model on a finite horizon for a firm that produces a single good. We model the production capacity as an Ito diffusion controlled by a nondec…