Journal articles
Nested-conditional factorization approach to Asian options pricing,, Journal of Computational and Applied Mathematics (2026), 480, 117264, | Journal Link | SSRN Link |
Exact simulation of stochastic volatility models based on conditional Fourier-cosine method, with G. Junike, European Journal of Operational Research (2026), 328(3), 1036-1053, | Journal Link | SSRN Link |
Exact simulation of the Hull and White stochastic volatility model, with L. Gonzato, Journal of Economic Dynamics and Control (2024), 163, 104861 | Journal Link | SSRN Link |
Exact Simulation of the Multifactor Ornstein-Uhlenbeck Driven Stochastic Volatility Model, SIAM Journal on Scientific Computing (2024), 46, A1441-A1460 | Journal Link | SSRN Link |
Commodity Asian Option Pricing and Simulation in a 4-Factor Model with Jump Clusters, with L. Gonzato and C. Sgarra, Annals of Operations Research (2024), 336(1-2), 275–306 | Journal Link | SSRN Link |
Unified moment-based modelling of integrated stochastic processes, with I. Kyriakou and G. Fusai, Operations Research (2024), 72(4), 1630-1653 | Journal Link | SSRN Link |
Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants, with L. Gonzato and E. Lütkebohmert, Journal of Banking & Finance (2023), 148, 106745 | Journal Link | SSRN Link |
Moments of integrated exponential Lévy processes and applications to Asian options pricing, Quantitative Finance (2022), 22, 1717-1729 | Journal Link | SSRN Link |
Arbitrage-Free Nelson-Siegel Model for Multiple Yield Curves, with C. Gerhart and E. Lütkebohmert, Mathematics and Financial Economics (2022), 15, 239-266 | Journal Link | SSRN Link |
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process, with G. Bernis, S. Scotti and C. Sgarra, Mathematics and Financial Economics (2021), 15, 747-773 | Journal Link | SSRN Link |
Moment-matching approximations for stochastics sums in non-Gaussian Ornstein-Uhlenbeck models, with I. Kyriakou and G. Fusai, Insurance: Mathematics and Economics (2021), 96, 232-247 | Journal Link | SSRN Link|
Asian options pricing in Hawkes-type jump-diffusion models, with C. Sgarra, Annals of Finance (2020), 16, 101-119 | Journal Link | SSRN Link |
Book Chapters
Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing, with L. Gonzato and C. Sgarra. Quantitative Energy Finance: Recent Trends and Developments (2024), 41-72 | Link |