29 citations · 38 across the 9 of their papers we have counts for
9 papers
Pricing and Hedging Financial Derivatives in Merger\&Acquisition Deals with Price Impact
Emilio Barucci, Yuheng Lan, Daniele Marazzina
We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a cou…
Sovereign Debt Default and Climate Risk
Emilio Barucci, Daniele Marazzina, Aldo Nassigh
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contribute…
Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market
Daniele Marazzina
In this work, we address the optimal retirement problem in the presence of a stochastic wage, formulated as a free boundary problem. Specifically, we explore an incomplete market s…
Sensitivity of Optimal Retirement Problem to Liquidity Constraints
Guodong Ding, Daniele Marazzina
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain funct…
Effect of Labour Income on the Optimal Bankruptcy Problem
Guodong Ding, Daniele Marazzina
In this paper we deal with the optimal bankruptcy problem for an agent who can optimally allocate her consumption rate, the amount of capital invested in the risky asset as well as…
Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
Carolyn E. Phelan, Daniele Marazzina, Guido Germano
We present new numerical schemes for pricing perpetual Bermudan and American options as well as -quantile options. This includes a new direct calculation of the optimal exercise…