Publications

• Fast Bayesian calibration of option pricing models based on sequential Monte Carlo methods and deep learning  (with R. Brignone, E. Lütkebohmert-Holtz and S. Knaust), Forthcoming, Journal of Financial Econometrics

• Econometric Analysis of Crude Oil Dynamics Using Time Series of Option Prices (with R. Brignone), 2026, Annals of Operations Research (Special Issue: "Decision-making under Uncertainty for Commodities and Financial Markets")

• Exact Simulation of the Hull and White Stochastic Volatility Model (with R. Brignone), 2024, Journal of Economic Dynamics and Control

• Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants (with R. Brignone and E. Lütkebohmert-Holtz), 2023, Journal of Banking and Finance

• Commodity Asian Option Pricing and Simulation in a 4-Factor Model with Jump Clusters (with R. Brignone and C. Sgarra), 2023, Annals of Operations Research (Special Issue: "Recent Advances in Mathematical Methods for Finance")

• Self-Exciting Jumps in The Oil Market: Bayesian Estimation and Dynamic Hedging (with C. Sgarra), 2021, Energy Economics

Book Chapters

• Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing (with R. Brignone and C. Sgarra), 2024, Quantitative Energy Finance - Recent Trends and Developments, edited by Benth F. and Veerart A. (Springer)

PhD Thesis

Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models