Piergiacomo Sabino
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
2021/05/07 by Piergiacomo Sabino, Sabino, Piergiacomo · 3 citations
Decision Sciences · Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Innovation Diffusion and Forecasting #Probability (math.PR) #Stochastic processes and financial applications
- A bivariate Normal Inverse Gaussian process with stochastic delay:\n efficient simulations and applications to energy markets
2020/11/09 by Matteo Gardini, Gardini, Matteo, Piergiacomo Sabino +3 · 1 citation
Economics, Econometrics and Finance · Environmental Science · #60-08 #60G51 #Atmospheric and Environmental Gas Dynamics #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #G.3 #I.6 #Market Dynamics and Volatility #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications
- Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY\n Processes of Ornstein-Uhlenbeck Type
2021/03/24 by Piergiacomo Sabino, Sabino, Piergiacomo · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #Stochastic processes and financial applications
- Exchange option pricing under variance gamma-like models
2022/07/01 by Matteo Gardini, Gardini, Matteo, Piergiacomo Sabino +1 · 1 citation
Economics, Econometrics and Finance · #Capital Investment and Risk Analysis #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #G.3 #G.5.1 #I.6 #Probability (math.PR) #Stochastic processes and financial applications