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Carlo Sgarra

Orcid: 0000-0001-9790-5292

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

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PhD thesis 
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Links

On csauthors.net:

Bibliography

2024
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters.
[BibTeX]
[DOI]
Riccardo Brignone
,
Luca Gonzato
,
Carlo Sgarra
Ann. Oper. Res., May, 2024

2023
Interest Rates Term Structure Models Driven by Hawkes Processes.
[BibTeX]
[DOI]
Guillaume Bernis
,
Matthieu Garcin
,
Simone Scotti
,
Carlo Sgarra
SIAM J. Financial Math., December, 2023

2014
Comparison Results for GARCH Processes.
[BibTeX]
[DOI]
Fabio Bellini
,
Franco Pellerey
,
Carlo Sgarra
,
Salimeh Yasaei Sekeh
J. Appl. Probab., 2014

2011
On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps.
[BibTeX]
[DOI]
Friedrich Hubalek
,
Carlo Sgarra
J. Comput. Appl. Math., 2011

2010
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach.
[BibTeX]
[DOI]
Luca Vincenzo Ballestra
,
Carlo Sgarra
Comput. Math. Appl., 2010

2006
An exact analytical solution for discrete barrier options.
[BibTeX]
[DOI]
Gianluca Fusai
,
I. David Abrahams
,
Carlo Sgarra
Finance Stochastics, 2006


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