Journals
Amici, G., Fusai, G., Gambaro, A. M., and Marazzina, D. (2026). Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input-Output Modeling. Mathematical Finance, 1-20. https://doi.org/10.1111/mafi.70029
Gambaro, A. M. (2025). The Capital-on-Capital Cost in Solvency II Risk Margin. European Actuarial Journal 15, 137–161. https://doi.org/10.1007/s13385-024-00401-8
Fusai, G., Gambaro, A. M. (2024). Pricing on trees using new risk-free rates. The Journal of Derivatives Fall 2024, 32 (1) 139 - 159, https://www.pm-research.com/content/iijderiv/early/2024/08/22/jod20241214
Gambaro, A. M. (2024). Exponential expansions for approximation of probability distributions. Decisions in Economics and Finance. https://link.springer.com/article/10.1007/s10203-024-00460-2
Gambaro, A. M., Fusai, G., Sodhi, M. S., May, C., and Morelli, C. (2023). ICU capacity expansion under uncertainty in the early stages of a pandemic. Production and Operations Management, 32(8), 2455–2474. https://doi.org/10.1111/poms.13985
Gambaro, Anna Maria, Secomandi, Nicola (2021). A Discussion of Non-Gaussian Price Processes for Energy and Commodity Operations. Production and Operations Management, vol. 30, pp. 47–67. ISSN: 1059-1478, doi: 10.1111/poms.13250
Gambaro, Anna Maria, Kyriakou, Ioannis, Fusai, Gianluca (2019). General lattice methods for arithmetic Asian options. European Journal of Operational Research, vol. 282, pp. 1185–1199. ISSN: 0377-2217, doi: 10.1016/j.ejor.2019.10.026
Gambaro, A. M., Casalini, R., Fusai, G., Ghilarducci, A. (2019). A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. Decisions in Economics and Finance, vol. 42, p. 157-187, ISSN: 1593-8883, doi:10.1007/s10203-019-00242-1
Gambaro, A. M., Casalini, R., Fusai, G., Ghilarducci, A. (2018). Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. Insurance Mathematics & Economics, vol. 81, p.117-129, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2017.10.005
Gambaro, Anna Maria, Caldana, Ruggero, Fusai, Gianluca (2017). Approximate pricing of swaptions in affine and quadratic models. Quantitative Finance, vol. 17, p. 1325-1345, ISSN: 1469-7688, doi: 10.1080/14697688.2017.1292043
PhD Thesis
Gambaro Anna Maria (2017), Interest rate and credit risk models applied to finance and actuarial science, Doctoral dissertation, Universita degli Studi di Milano-Bicocca, Available at phd_unimib_787787.pdf
Books Chapters
Gambaro Anna Maria, Caldana Ruggero, Fusai Gianluca (2017). Accurate pricing of swaptions via Lower Bound. In: Handbook of Recent Advances in Commodity and Financial Modeling., vol. 257, p. 183-205, Springer, ISBN: 9783319613208