Carlo Sgarra
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Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
F Hubalek, C Sgarra §
Quantitative finance 6 (02), 125-145, 2006
An exact analytical solution for discrete barrier options
G Fusai, ID Abrahams, C Sgarra
Finance and Stochastics 10, 1-26, 2006
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach
LV Ballestra, C Sgarra
Computers & Mathematics with Applications 60 (6), 1571-1590, 2010
The risk premium and the Esscher transform in power markets
FE Benth, C Sgarra
Stochastic Analysis and Applications 30 (1), 20-43, 2012
A branching process approach to power markets
Y Jiao, C Ma, S Scotti, C Sgarra
Energy Economics 79, 144-156, 2019
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
F Hubalek, C Sgarra
Journal of Computational and Applied Mathematics 235 (11), 3355-3365, 2011
Geometric Asian option pricing in general affine stochastic volatility models with jumps
F Hubalek, M Keller-Ressel, C Sgarra
Quantitative Finance 17 (6), 873-888, 2017
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
F Hubalek, C Sgarra
Stochastic Processes and their Applications 119 (7), 2137-2157, 2009
Numerical analysis of a shock-wave solution of the Enskog equation obtained via a Monte Carlo method
A Frezzotti, C Sgarra
Journal of statistical physics 73, 193-207, 1993
Acceptability indexes via-expectations: an application to liquidity risk
E Rosazza Gianin, C Sgarra
Mathematics and financial economics 7 (4), 457-475, 2013
Ingegneria finanziaria: Un'introduzione quantitativa
E Barucci
EGEA spa, 2020
Rotations which make strain and stress coaxial
C Sgarra, M Vianello
Journal of elasticity 47, 217-224, 1997
A self‐exciting modeling framework for forward prices in power markets
G Callegaro, A Mazzoran, C Sgarra
Applied stochastic models in business and industry 38 (1), 27-48, 2022
Optimal investment in markets with over and under-reaction to information
G Callegaro, M Gaïgi, S Scotti, C Sgarra
Mathematics and Financial Economics 11, 299-322, 2017
Correlation matrices of yields and total positivity
E Salinelli, C Sgarra
Linear algebra and its applications 418 (2-3), 682-692, 2006
A gamma ornstein–uhlenbeck model driven by a hawkes process
G Bernis, R Brignone, S Scotti, C Sgarra
Mathematics and Financial Economics 15 (4), 747-773, 2021
Shift, slope and curvature for a class of yields correlation matrices
E Salinelli, C Sgarra
Linear algebra and its applications 426 (2-3), 650-666, 2007
A particle filtering approach to oil futures price calibration and forecasting
G Fileccia, C Sgarra
Journal of Commodity Markets 9, 21-34, 2018
A finite element discretization method for option pricing with the Bates model
E Miglio, C Sgarra
SeMA Journal 55 (1), 23-40, 2011
Asian options pricing in Hawkes-type jump-diffusion models
R Brignone, C Sgarra
Annals of Finance 16 (1), 101-119, 2020
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