Journal articles
Unified Moment-Based Simulation of Multivariate Polynomial Processes and Applications in Financial Engineering, Management Science (Forthcoming) | Journal Link | SSRN Link |
Fast Bayesian Calibration of Option Pricing Models Based on Sequential Monte Carlo Methods and Deep Learning, with L. Gonzato, S. Knaust and E. Lütkebohmert, Journal of Financial Econometrics (2026), 24(3), nbag011 | Journal Link | SSRN Link |
Econometric analysis of crude oil price dynamics using time series of option prices, with L. Gonzato, Annals of Operations Research (Forthcoming) | Journal Link | SSRN Link |
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 |
Enhancing the COS method with machine learning, with H. Stier and G. Junike, International Journal of Computer Mathematics (Forthcoming) | 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 |