Publications
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
Risks, 2019
Arbitrage Theory in Discrete and Continuous Time (joint with A. Battauz and F. Ortu)
Egea Editore, 2023
Submitted preprints
Optimal Liquidation Policies of Redeemable Shares (joint with A. Battauz)
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)
Efficient valuation of barrier options under equity and interest rate risks
Work in progress
Effective Binomial Discretization of Bivariate Diffusion Processes