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R

Riccardo Brignone

university of pavia

6H指数
27论文数
120被引数
收录论文 8
发表时间
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Full calibration, fast simulation, and exotic options pricing under the Ornstein–Uhlenbeck driven stochastic volatility model奥恩斯坦-乌伦贝克驱动的随机波动率模型下的完全校准、快速模拟和奇异期权定价
errEuropean Journal of Operational Research
IF6
err2026-08-10
err0
errOAAI
errRiccardo Brignone; Carlo Sgarra
err分享
err收藏
Econometric analysis of crude oil price dynamics using time series of option prices
errAnnals of Operations Research
IF4.5
err2026-01-21
err0
errOAAI
errRiccardo Brignone; Luca Gonzato
err分享
err收藏
Nested-conditional factorization approach to Asian options pricing亚洲期权定价的嵌套条件分解方法
errJournal of Computational and Applied Mathematics
IF2.6
err2025-12-01
err0
errOAAI
errBrignone, Riccardo
err分享
err收藏
Enhancing the COS method with machine learning
errInternational Journal of Computer Mathematics
IF1.3
err2025-10-01
err0
PREAI
errBrignone, Riccardo; Stier, Hauke; Junike, Gero
err分享
err收藏
Exact simulation of stochastic volatility models based on conditional Fourier-cosine method基于条件傅里叶-余弦方法的随机波动率模型精确模拟
errEuropean Journal of Operational Research
IF6
err2025-09-13
err0
errOAAI
errRiccardo Brignone; Gero Junike
err分享
err收藏
EXACT SIMULATION OF THE MULTIFACTOR ORNSTEIN--UHLENBECK DRIVEN STOCHASTIC VOLATILITY MODEL
errSIAM JOURNAL ON SCIENTIFIC COMPUTING
IF2.6
err2024-05-02
err0
PREAI
errBrignone, Riccardo
err分享
err收藏
Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
errJOURNAL OF BANKING & FINANCE
IF3.8
err2023-03-01
err4
errOAAI
errBrignone, Riccardo; Gonzato, Luca; Luetkebohmert, Eva
err分享
err收藏
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
errANNALS OF OPERATIONS RESEARCH
IF4.5
err2023-01-07
err7
errOAAI
errBrignone, Riccardo; Gonzato, Luca; Sgarra, Carlo
err分享
err收藏

研究方向

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合作学者
合作期刊
C
Carlo Sgarra
H 指数: 16 · 论文数: 105
G
Gero Junike
H 指数: 5 · 论文数: 31
L
Luca Gonzato
H 指数: 3 · 论文数: 16
H
Hauke Stier
H 指数: 1 · 论文数: 9
H 指数: 0 · 论文数: 49
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