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q-fin.CP2022
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…
q-fin.CP2020
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.…
q-fin.CP2017
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…