Publications

• Efficient valuation of barrier options under equity and interest rate risks

Decisions in Economics and Finance, 2024

• Optimal Liquidation Policies of Redeemable Shares (joint with A. Battauz)

Computational Management Science, 2024

• Valuation of General GMWB annuities in a low interest environment (joint with C. Fontana)

Insurance: Mathematics and Economics, 2023

• American Options and Stochastic Interest Rates (joint with A. Battauz)

Computational Management Science, 2022

• On Horizon-Consistent Mean-Variance Portfolio Allocation (joint with S. Cerreia-Vioglio, F. Ortu, F. Severino)

Annals of Operations Research, 2022

• American Options on High Dividend securities: a Numerical Investigation

Risks, 2019

• Arbitrage Theory in Discrete and Continuous Time (joint with A. Battauz and F. Ortu)

Egea Editore, 2023

Submitted preprints

• Seasonality and Spikes in the European natural gas market

• Flexibility and Uncertainty: the optimal management of a gas-fired turbine (joint with C. Bertolosi)

• A Hidden Markov Model for Statistical Arbitrage in International Crude Oil Futures Markets (joint with V. Fanelli and C. Fontana)

Work in progress

• Effective Binomial Discretization of Bivariate Diffusion Processes

• Linking Futures and Options pricing in the European Natural Gas Market