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Andrea Molent

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Journal Articles

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2024
[j4]
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  dblp key:
  - journals/cssc/BallestraMP24
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  persistent URL:
  - https://dblp.org/rec/journals/cssc/BallestraMP24
Luca Vincenzo Ballestra, Andrea Molent, Graziella Pacelli:
Investigating long and short memory in cryptocurrency time series by stochastic fractional Brownian models. Commun. Stat. Simul. Comput. 53(9): 4596-4606 (2024)
2022
[j3]
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  - journals/eor/GoudenegeMZ22
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  - https://dblp.org/rec/journals/eor/GoudenegeMZ22
Ludovic Goudenège, Andrea Molent, Antonino Zanette:
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. Eur. J. Oper. Res. 303(2): 958-974 (2022)
2020
[j2]
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  - journals/cms/GoudenegeMZ20
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Ludovic Goudenège, Andrea Molent, Antonino Zanette:
Computing credit valuation adjustment solving coupled PIDEs in the Bates model. Comput. Manag. Sci. 17(2): 163-178 (2020)
2019
[j1]
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  - journals/cms/GoudenegeMZ19
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Ludovic Goudenège, Andrea Molent, Antonino Zanette:
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Comput. Manag. Sci. 16(1-2): 217-248 (2019)

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