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ORCIDDaniele Marazzina
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2020 – today
- 2024
[j20]Guodong Ding, Daniele Marazzina
:
Effect of labour income on the optimal bankruptcy problem. Ann. Oper. Res. 336(1-2): 773-795 (2024)- [j19]Guodong Ding, Daniele Marazzina:
Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework. Comput. Appl. Math. 43(1): 53 (2024) - 2023
- [j18]Emilio Barucci, Matteo Brachetta, Daniele Marazzina:
Debt redemption fund and fiscal incentives. Commun. Nonlinear Sci. Numer. Simul. 119: 107094 (2023) - [j17]Emilio Barucci, Enrico Biffis, Daniele Marazzina:
Health insurance, portfolio choice, and retirement incentives. Eur. J. Oper. Res. 307(2): 910-921 (2023) - [i2]Raffaele Giuseppe Cestari, Filippo Barchi, Riccardo Busetto, Daniele Marazzina, Simone Formentin:
Hawkes-based cryptocurrency forecasting via Limit Order Book data. CoRR abs/2312.16190 (2023) - 2022
- [j16]Michele Azzone, Emilio Barucci, Giancarlo Giuffra Moncayo, Daniele Marazzina:
A machine learning model for lapse prediction in life insurance contracts. Expert Syst. Appl. 191: 116261 (2022) - 2021
- [j15]Emilio Barucci, Daniele Marazzina, Elisa Mastrogiacomo:
Optimal investment strategies with a minimum performance constraint. Ann. Oper. Res. 299(1): 215-239 (2021) - [j14]Gaetano La Bua, Daniele Marazzina:
On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. Comput. Manag. Sci. 18(2): 149-176 (2021) - [i1]Guido Germano, Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai:
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms. CoRR abs/2106.05326 (2021)
2010 – 2019
- 2019
- [j13]Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano:
Hilbert transform, spectral filters and option pricing. Ann. Oper. Res. 282(1-2): 273-298 (2019) - [j12]Stefania Corsaro, Ioannis Kyriakou, Daniele Marazzina, Zelda Marino:
A general framework for pricing Asian options under stochastic volatility on parallel architectures. Eur. J. Oper. Res. 272(3): 1082-1095 (2019) - [j11]Laura Ballotta, Gianluca Fusai, Daniele Marazzina:
Integrated structural approach to Credit Value Adjustment. Eur. J. Oper. Res. 272(3): 1143-1157 (2019) - 2018
- [j10]Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano:
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. Eur. J. Oper. Res. 271(1): 210-223 (2018) - 2016
- [j9]Gianluca Fusai, Guido Germano, Daniele Marazzina:
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options. Eur. J. Oper. Res. 251(1): 124-134 (2016) - [j8]Roy Cerqueti, Daniele Marazzina, Marco Ventura:
Optimal Investment in Research and Development Under Uncertainty. J. Optim. Theory Appl. 168(1): 296-309 (2016) - [j7]Emilio Barucci, Daniele Marazzina:
Asset management, High Water Mark and flow of funds. Oper. Res. Lett. 44(5): 607-611 (2016) - 2014
- [j6]Stefano Baccarin, Daniele Marazzina:
Optimal impulse control of a portfolio with a fixed transaction cost. Central Eur. J. Oper. Res. 22(2): 355-372 (2014) - [j5]Debora Sesana, Daniele Marazzina, Gianluca Fusai:
Pricing exotic derivatives exploiting structure. Eur. J. Oper. Res. 236(1): 369-381 (2014) - 2012
- [j4]Emilio Barucci, Daniele Marazzina:
Optimal investment, stochastic labor income and retirement. Appl. Math. Comput. 218(9): 5588-5604 (2012) - [j3]Emilio Barucci, Daniele Marazzina:
Corrigendum to 'Optimal investment, stochastic labor income and retirement' Applied Mathematics and Computation 218 (2012) 5588-5604. Appl. Math. Comput. 218(11): 6627 (2012) - 2011
- [j2]Gianluca Fusai, Daniele Marazzina, Marina Marena:
Pricing Discretely Monitored Asian Options by Maturity Randomization. SIAM J. Financial Math. 2(1): 383-403 (2011) - 2010
- [j1]Gianluca Fusai, Daniele Marazzina, Marina Marena:
Option pricing, maturity randomization and distributed computing. Parallel Comput. 36(7): 403-414 (2010) - [c2]Stefania Corsaro, Daniele Marazzina, Zelda Marino:
Wavelet Techniques for Option Pricing on Advanced Architectures. Euro-Par Workshops 2010: 447-454
2000 – 2009
- 2008
- [c1]Marina Marena, Daniele Marazzina, Gianluca Fusai:
Option pricing, maturity randomization and grid computing. IPDPS 2008: 1-8
Coauthor Index
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