1 citations · 2 across the 16 of their papers we have counts for
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Optimal control of the FitzHugh-Nagumo stochastic model with nonlinear diffusion
Francesco Cordoni, Luca Di Persio
We consider the existence and first order conditions of optimality for a stochastic optimal control problem inspired by the celebrated FitzHugh-Nagumo model, with nonlinear diffusi…
Fecundity regulation in a spatial birth-and-death process
Viktor Bezborodov, Luca Di Persio, Dmitri Finkelshtein +2
We study a Markov birth-and-death process on a space of locally finite configurations, which describes an ecological model with a density dependent fecundity regulation mechanism.…
A lending scheme for a system of interconnected banks with probabilistic constraints of failure
Francesco Cordoni, Luca Di Persio, Luca Prezioso
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which ar…
Closed-End Formula for options linked to Target Volatility Strategies
Luca Di Persio, Luca Prezioso, Kai Wallbaum
Recent years have seen an emerging class of structured financial products based on options linked to dynamic asset allocation strategies. One of the most chosen approach is the so-…
Options on CPPI with guaranteed minimum equity exposure
L. Di Persio, I. Oliva. K. Wallbaum
In the present paper we provide a two-step principal protection strategy obtained by combining a modification of the Constant Proportion Portfolio Insurance (CPPI) algorithm and a…