Daniele Marazzina

Orcid: 0000-0001-6107-9822

According to our database1, Daniele Marazzina authored at least 24 papers between 2008 and 2024.

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

Timeline

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Bibliography

2024
Effect of labour income on the optimal bankruptcy problem.
Ann. Oper. Res., May, 2024

Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework.
Comput. Appl. Math., February, 2024

2023
Health insurance, portfolio choice, and retirement incentives.
Eur. J. Oper. Res., June, 2023

Debt redemption fund and fiscal incentives.
Commun. Nonlinear Sci. Numer. Simul., May, 2023

Hawkes-based cryptocurrency forecasting via Limit Order Book data.
CoRR, 2023

2022
A machine learning model for lapse prediction in life insurance contracts.
Expert Syst. Appl., 2022

2021
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms.
CoRR, 2021

On the application of Wishart process to the pricing of equity derivatives: the multi-asset case.
Comput. Manag. Sci., 2021

Optimal investment strategies with a minimum performance constraint.
Ann. Oper. Res., 2021

2019
A general framework for pricing Asian options under stochastic volatility on parallel architectures.
Eur. J. Oper. Res., 2019

Integrated structural approach to Credit Value Adjustment.
Eur. J. Oper. Res., 2019

Hilbert transform, spectral filters and option pricing.
Ann. Oper. Res., 2019

2018
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options.
Eur. J. Oper. Res., 2018

2016
Asset management, High Water Mark and flow of funds.
Oper. Res. Lett., 2016

Optimal Investment in Research and Development Under Uncertainty.
J. Optim. Theory Appl., 2016

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options.
Eur. J. Oper. Res., 2016

2014
Pricing exotic derivatives exploiting structure.
Eur. J. Oper. Res., 2014

Optimal impulse control of a portfolio with a fixed transaction cost.
Central Eur. J. Oper. Res., 2014

2012
Corrigendum to 'Optimal investment, stochastic labor income and retirement' Applied Mathematics and Computation 218 (2012) 5588-5604.
Appl. Math. Comput., 2012

Optimal investment, stochastic labor income and retirement.
Appl. Math. Comput., 2012

2011
Pricing Discretely Monitored Asian Options by Maturity Randomization.
SIAM J. Financial Math., 2011

2010
Option pricing, maturity randomization and distributed computing.
Parallel Comput., 2010

Wavelet Techniques for Option Pricing on Advanced Architectures.
Proceedings of the Euro-Par 2010 Parallel Processing Workshops, 2010

2008
Option pricing, maturity randomization and grid computing.
Proceedings of the 22nd IEEE International Symposium on Parallel and Distributed Processing, 2008


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