Gianluca Fusai

Orcid: 0000-0001-9215-2586

According to our database1, Gianluca Fusai authored at least 17 papers between 2001 and 2024.

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

Timeline

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Bibliography

2024
Unified Moment-Based Modeling of Integrated Stochastic Processes.
Oper. Res., 2024

2022
Technical Note - On Matrix Exponential Differentiation with Application to Weighted Sum Distributions.
Oper. Res., 2022

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

2020
General lattice methods for arithmetic Asian options.
Eur. J. Oper. Res., 2020

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

2017
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market.
Eur. J. Oper. Res., 2017

2016
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options.
Math. Oper. Res., 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

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

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

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

2002
Valuation of exotic options using moments.
Oper. Res., 2002

2001
Dynamic value at risk under optimal and suboptimal portfolio policies.
Eur. J. Oper. Res., 2001


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