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C

Carlo Sgarra

university of bari aldo moro

16H指数
105论文数
728被引数
收录论文 6
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
Semistatic Variance-Optimal Hedging with Self-Exciting Jumps半静态方差最优对冲与自激发跳跃
errMATHEMATICS OF OPERATIONS RESEARCH
IF0
err2025-09-01
err0
PREAI
errCallegaro, Giorgia; Di Tella, Paolo; Ongarato, Beatrice; Sgarra, Carlo
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
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging
errENERGY ECONOMICS
IF14.2
err2021-07-01
err11
errOAAI
errGonzato, Luca; Sgarra, Carlo
err分享
err收藏
A branching process approach to power markets
errENERGY ECONOMICS
IF14.2
err2019-03-01
err18
errOAAI
errJiao, Ying; Ma, Chunhua; Scotti, Simone; Sgarra, Carlo
err分享
err收藏
A particle filtering approach to oil futures price calibration and forecasting
errJOURNAL OF COMMODITY MARKETS
IF4.5
err2018-03-01
err12
PREAI
errFileccia, Gaetano; 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
Chunhua Ma
H 指数: 12 · 论文数: 29
Y
Ying Jiao
H 指数: 12 · 论文数: 73
S
Simone Scotti
H 指数: 12 · 论文数: 56
G
Giorgia Callegaro
H 指数: 11 · 论文数: 61
R
Riccardo Brignone
H 指数: 6 · 论文数: 27
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