Piergiacomo Sabino und Pricing - Info zur Person

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MS02 - ECMI Bergische Universität WuppertalBergische Universität Wuppertal

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:50 Piergiacomo Sabino, Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of OU Type; 15:15 Michelle Muniz, ...

Normal Tempered Stable Processes and the Pricing of ...x-mol.com

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— Piergiacomo Sabino. SIAM Journal on Financial Mathematics, Volume 14, Issue 1, Page , March Abstract. In this study we consider ...

Efficient quasi-Monte simulations for pricing high-dimensional...

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Piergiacomo Sabino. (.it). Registered: Abstract. No abstract is available for this item. Suggested Citation. Piergiacomo Sabino, "Efficient ...

Normal Tempered Stable Processes and the IDEAS/RePEc

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von P Sabino · — Listed: Piergiacomo Sabino. Registered: Abstract. In this study we consider the pricing of energy derivatives when the evolution of spot prices is modeled with ... › arx › papers

Normal Tempered Stable Processes and the Pricing of ...arXiv

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von P Sabino · · Zitiert von: 3 — From: Piergiacomo Sabino Dr [view email] [v1] Fri, 7 May :31:59 UTC (251 KB). Full-text links: Download:. von M Grabchak · · Zitiert von: 1 — Authors:Michael Grabchak, Piergiacomo Sabino. Download a PDF of the paper titled Efficient Simulation of $p$-Tempered $\alpha$-Stable OU ...

Forward or Backward Simulation?: A Comparative StudySocial Science Research Network

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von P Sabino · · Zitiert von: 12 — Piergiacomo Sabino. Uniper Global Commodities. Date Written: February 6, Abstract. The aim of this study is to present algorithms for the ... von P Sabino · · Zitiert von: 10 — Piergiacomo Sabino. Uniper Global Commodities. Date Written: October 4, Abstract. We consider the problem of pricing path-dependent ...

Pricing Energy Derivatives in Markets Driven by Tempered ...MDPI

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— Piergiacomo Sabino 1,2,†. 1. Quantitative Risk Management, E.ON SEEssen, Germany; or ...

[ ] Fast Pricing of Energy Derivatives with Mean-reverting...

arxiv.org

Authors:Nicola Cufaro Petroni, Piergiacomo Sabino. (Submitted on 8 Aug 2019). Abstract: The law of a mean-reverting (Ornstein-Uhlenbeck) ...

On the use of the moment-matching technique for pricing ...ScienceDirect

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von T Pellegrino · · Zitiert von: 12 — Piergiacomo Sabino. Show more. Share. Cite. https://doi.org j.eneco Get rights and content. Abstract. The aim of this paper is to show ...

SIAM Journal on Financial Mathematics, Volume 14DBLP

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Piergiacomo Sabino: Normal Tempered Stable Processes and the Pricing of Energy Derivatives

Implementing Quasi-Monte Carlo Simulations with Linear ...Internet Archive

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by: Piergiacomo Sabino. Publication date: Collection: arxiv; additional_collections; journals. Pricing exotic multi-asset path-dependent options ...

Normal Tempered Stable Processes and the Pricing of ...Society for Industrial and Applied Mathematics

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Normal Tempered Stable Processes and the Pricing of Energy Derivatives. Author: Piergiacomo Sabino Contact the authorAuthors Info & Affiliations.

SIAM Journal on Financial MathematicsUniversity of Utah

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— Piergiacomo Sabino Normal Tempered Stable Processes and the Pricing of Energy Derivatives ?? Godeliva Petrina Marisu and Chi Seng ...

Pricing and Hedging Asian Basket Options with - ProQuest

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Nicola Cufaro Petroni Piergiacomo Sabino Methodol Comput Appl Probab (2013) 15: Introduction and Motivation. › docview

Pricing and hedging options in energy markets using Black

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... and hedging multiasset spread options using a three-dimensional Fourier cosine series expansion method. Tommaso Pellegrino and Piergiacomo Sabino.

On the Use of the Moment-Matching Technique for Pricing and Hedging...

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E.ON PowerPoint On the Use of the Moment-Matching Technique for Pricing and Hedging Multi-Asset Spread Options Tommaso Pellegrino, joint work with Piergiacomo...