9 citations · 10 across the 8 of their papers we have counts for
8 papers
A Heath-Jarrow-Morton framework for energy markets: a pragmatic approach
Matteo Gardini, Edoardo Santilli
In this article we discuss the application of the Heath-Jarrow-Morton framework Heath et al. [26] to energy markets. The goal of the article is to give a detailed overview of the t…
Exchange option pricing under variance gamma-like models
Matteo Gardini, Piergiacomo Sabino
In this article we focus on the pricing of exchange options when the dynamic of logprices follows either the well-known variance gamma or the recent variance gamma++ process introd…
A bivariate Normal Inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
Matteo Gardini, Piergiacomo Sabino, Emanuela Sasso
Using the concept of self-decomposable subordinators introduced in Gardini et al. [11], we build a new bivariate Normal Inverse Gaussian process that can capture stochastic delays.…
Correlating Lévy processes with Self-Decomposability: Applications to Energy Markets
Matteo Gardini, Piergiacomo Sabino, Emanuela Sasso
Based on the concept of self-decomposability, we extend some recent multivariate Lévy models built using multivariate subordination with the aim of capturing situations in which a…
On the structure of quantum vertex algebras
Alberto De Sole, Matteo Gardini, Victor G. Kac
A definition of a quantum vertex algebra, which is a deformation of a vertex algebra, was proposed by Etingof and Kazhdan in 1998. In a nutshell, a quantum vertex algebra is a brai…
FIEMS: Fast Italian Energy Market Simulator
Matteo Gardini, Marco Diana
The article describes the algorithm used to define the electricity price in day-ahead and itraday energy markets in Italy. Details of Matlab implementation of one of its simplified…
Hydropower optimization: an industrial approach
Matteo Gardini, Aurora Manicardi
Nowadays hydroelectric energy is one of the best energy sources: it is cleaner, safer and more programmable than other sources. For this reason, its manage could not be done in an…
Viral Search algorithm
Matteo Gardini
The article, after a brief introduction on genetic algorithms and their functioning, presents a kind of genetic algorithm called Viral Search. We present the key concepts, we forma…