Simona Sanfelici

According to our database, Simona Sanfelici authored at least 7 papers between 2006 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

The Fourier-Malliavin Volatility (FMVol) MATLAB® library.

Simona Sanfelici, Giacomo Toscano

Math. Comput. Simul., 2024

2023

Fast Barrier Option Pricing by the COS BEM Method in Heston Model (with Matlab Code).

Alessandra Aimi, Chiara Guardasoni, Luis Ortiz-Gracia, Simona Sanfelici

Comput. Methods Appl. Math., April, 2023

2020

Real Estate Asset Management Companies' Economies of Scale: Is It a Dream or Reality? The Italian Case.

Evita Allodi, Claudio Cacciamani, Michele Caliolo, Pier Paolo De Santis, Fabio Della Marra, Simona Sanfelici

Complex., 2020

2016

Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps.

Chiara Guardasoni, Simona Sanfelici

SIAM J. Appl. Math., 2016

A boundary element approach to barrier option pricing in Black-Scholes framework.

Chiara Guardasoni, Simona Sanfelici

Int. J. Comput. Math., 2016

2008

Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise.

M. E. Mancino, Simona Sanfelici

Comput. Stat. Data Anal., 2008

2006

Optimal impulse control on an unbounded domain with nonlinear cost functions.

Stefano Baccarin, Simona Sanfelici

Comput. Manag. Sci., 2006