Carlo Sgarra

According to our database1, Carlo Sgarra authored at least 6 papers between 2006 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
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Links

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Bibliography

2024
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters.
Ann. Oper. Res., May, 2024

2023
Interest Rates Term Structure Models Driven by Hawkes Processes.
SIAM J. Financial Math., December, 2023

2014
Comparison Results for GARCH Processes.
J. Appl. Probab., 2014

2011
On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps.
J. Comput. Appl. Math., 2011

2010
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach.
Comput. Math. Appl., 2010

2006
An exact analytical solution for discrete barrier options.
Finance Stochastics, 2006


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