Daniele Marazzina - Publications January 7, 2015 Research Interests and Publications Daniele Marazzina RESEARCH INTERESTS • Numerical Methods for Option Pricing. • Parallel and Distributed Computing in Finance. • Optimal Consumption and Portfolio Analysis. • Optimal Strategies in the Presence of Transaction Costs. PUBLICATIONS Journal Articles 1. S.Baccarin, D.Marazzina, Passive Portfolio Management over a Finite Horizon with a Target Liquidation Value under Transaction Costs and Solvency Constraints, submitted. 2. R.Cerqueti, D.Marazzina, M.Ventura, Optimal Investments in a Patent Race, submitted. 3. G.Fusai, G.Germano, D.Marazzina, Fast Pricing of Discretely Monitored Exotic Options Based on the Spitzer Identity and the Wiener-Hopf Factorization, submitted. 4. E.Barucci, D.Marazzina (2015), Risk Seeking, Non Convex Remuneration and Regime Switching, International Journal of Theoretical and Applied Finance, to appear. ISSN: 0219-0249 (Print), 1793-6322 (Online). 5. A.Cosso, D.Marazzina, C.Sgarra (2015), American Option Valuation in a Stochastic Volatility Model with Transaction Costs, Stochastics, to appear. ISSN: 1744-2508 (Print), 1744-2516 (Online). 6. S.Corsaro, D.Marazzina, Z.Marino (2015) A Parallel Wavelet-based Pricing Procedure for Asian Options, Quantitative Finance, vol. 15-1: 101-113. DOI:10.1080/14697688.2014.935465. ISSN: 1469-7688 (Print), 1469-7696 (Online). [PDF] 7. S.Baccarin, D. Marazzina (2014) Optimal Impulse Control of a Portfolio with a Fixed Transaction Cost, Central European Journal of Operations Research, vol. 22-2: 355-372. DOI 10.1007/s10100-013-0304-9. ISSN: 1613-9178. [PDF] 8. D.Sesana, D.Marazzina, G.Fusai (2014) Pricing Exotic Derivatives Exploiting Structure, European Journal of Operational Research, Vol. 236: 369-381. DOI: 10.1016/j.ejor.2013.12.009. ISSN: 0377-2217. [PDF] 9. E.Barucci, D.Marazzina (2012) Optimal Investment, Stochastic Labor Income and Retirement, Applied Mathematics and Computation, Vol. 218-9: 5588-5604. DOI: 10.1016/ j.amc.2011.11.052. ISSN: 00963003. [PDF] 10. G.Fusai, D.Marazzina, M.Marena, M.Ng (2012) Z-Transform and Preconditioning Techniques for Option Pricing, Quantitative Finance, Vol. 12-9: 1381-1394. DOI:10.1080/14697688.2010.538074. ISSN: 14697688 (Print), 1469-7696 (Online). [PDF] 11. D.Marazzina, O.Reichmann, Ch.Schwab (2012) hp-DGFEM for Kolmogorov-Fokker-Planck Equations of Multivariate L´evy Processes, M3 AS: Mathematical Models and Methods in Applied Sciences, Vol. 22-1: 1150005.1-37. DOI: 10.1142/S0218202512005897. ISSN: 0218-2025 (Print), 1793-6314 (Online). [PDF] 12. G.Fusai, D.Marazzina, M.Marena (2011) Pricing Discretely Monitored Asian Options by Maturity Randomization, SIAM Journal on Financial Mathematics, Vol. 2: 383-403. DOI: 10.1137/09076115X, ISSN: 1945-497X. [PDF] 13. G.Fusai, D.Marazzina, M.Marena (2010) Option Pricing, Maturity Randomization and Distributed Computing, Parallel Computing - Special Issue Parallel and Distributed Computing in Finance, Vol. 36-7: 403-414. DOI: 10.1016/j.parco.2010.03.002, ISSN: 0167-8191. [PDF] 1/ 3 Daniele Marazzina - Publications January 7, 2015 14. D.Marazzina (2009) Stability Properties of Discontinuous Galerkin Methods in Mixed Form, Scientifica Acta, Vol. 3-1: 7-12. ISSN: 1973-5227 (Print), 1973-5219 (Online). [PDF] 15. D.Marazzina (2008) Stability Properties of Discontinuous Galerkin Methods for Two-Dimensional Elliptic Problems, IMA Journal of Numerical Analysis, Vol. 28-3: 552-579. DOI: 10.1093/imanum/ drm020, ISSN: 0272-4979 (Print), 1464-3642 (Online). [PDF] 16. D.Marazzina (2008) Propriet` a di Stabilit` a per Metodi Discontinuous Galerkin in Forma Mista in: La Matematica nella Societ` a e nella Cultura, Rivista della Unione Matematica Italiana, Serie I, Vol.I-2: 295-298. ISSN: 1972-7356. Conference Proceedings 17. D.Marazzina, G.Fusai, G.Germano (2012) Pricing Credit Derivatives in a Wiener-Hopf Framework in: “Topics in Numerical Methods for Finance”, M. Cummins, F. Murphy, J.H. Miller (Eds.), Springer Proceedings in Mathematics & Statistics, Vol. 19, pp. 139-154, Springer-Verlag. ISSN 2194-1009, ISBN 978-1-4614-3432-0. [PDF] 18. S.Corsaro, D.Marazzina, Z.Marino (2011) Wavelet Techniques for Option Pricing on Advanced Architectures in: “Euro-Par 2010, Parallel Processing Workshops”, M.R.Guerracino et al.(Eds), LNCS Vol. 6586, pp. 447-454, Springer-Verlag. ISSN 0302-9743, ISBN 978-3-642-21877-4. [PDF] 19. O.Salas, D.Marazzina, S.Rovida, G.Sacchi, S.Scacchi (2009) The BPS preconditioner on Beowulf Cluster in: “Revista de Matematica: Teoria y Aplicaciones” (International Journal on Mathematics: Theory and Applications) - Refereed Proceedings of the XVI International Symposium on Mathematical Methods Applied to the Sciences, Vol. XVI-1: 148-158. ISSN: 1409-2433. 20. M.Marena, D.Marazzina, G.Fusai (2008) Option Pricing, Maturity Randomization and Grid Computing in: “IEEE International Symposium on Parallel and Distributed Processing (IPDPS 2008)”, April 1418, 2008, Miami, USA. ISSN: 1530-2075, ISBN: 978-1-4244-1693-6, DOI: 10.1109/IPDPS.2008.4536458. [PDF] 21. D.Marazzina (2007) Mixed Discontinuous Galerkin Methods with Minimal Stabilization in: “Communications to Simai Congress”, Vol.2. DOI: 10.1685/CSC06108, ISSN: 1827-9015. [PDF] 22. D.Marazzina (2006) Mixed Discontinuous Galerkin Methods with Minimal Stabilization in: “Numerical Mathematics and Advanced Applications, Proceedings of ENUMATH 2005, the 6th European Conference on Numerical Mathematics and Advanced Applications, Santiago de Compostela, Spain, July 2005”, A.Berm´ udez de Castro, D.G´ omez, P.Quintela, P.Salgado (Eds.), pp.448-456, Springer-Verlag. ISBN-10: 3-540-34287-7, ISBN-13: 978-3-540-34287-8. [PDF] Other Articles 23. M.Bonollo, D.Marazzina (2014) Lo Standardized Approach per Credit Counterparty Risk , www.finriskalert.it [HTML] 24. M.Bonollo, D.Marazzina (2014) Il final draft per la Prudential Valuation (AVA), www.finriskalert.it [HTML] 25. M.Bonollo, D.Marazzina (2014) Prudential Valuation dei derivati (AVA), www.finriskalert.it [HTML] Technical Reports 26. G.Fusai, G.Germano, D.Marazzina, Fast Pricing of Discretely Monitored Exotic Options Based on the Spitzer Identity and the Wiener-Hopf Factorization, Quaderno di Dipartimento QDD 178, Dipartimento di Matematica, Politecnico di Milano, Italy, 2014. 27. S.Baccarin, D.Marazzina, Passive Portfolio Management over a Finite Horizon with a Target Liquidation Value under Transaction Costs and Solvency Constraints, Quaderno di Dipartimento QDD 177, Dipartimento di Matematica, Politecnico di Milano, Italy, 2014. 2/ 3 Daniele Marazzina - Publications January 7, 2015 28. E.Barucci, D.Marazzina, Risk Seeking, Non Convex Remuneration and Regime Switching, Quaderno di Dipartimento QDD 166, Dipartimento di Matematica, Politecnico di Milano, Italy, 2013. 29. S.Corsaro, D.Marazzina, Z.Marino, A Parallel Wavelet-Based Pricing Procedure for Asian Options, Quaderno di Dipartimento QDD 161, Dipartimento di Matematica, Politecnico di Milano, Italy, 2013. 30. R.Cerqueti, D.Marazzina, M.Ventura, Optimal Investments in a Patent Race, Quaderno di Dipartimento QDD 148, Dipartimento di Matematica, Politecnico di Milano, Italy, 2013. 31. S.Baccarin, D.Marazzina, Portfolio Optimization Over a Finite Horizon with Fixed and Proportional Transaction Costs and Liquidity Constraints, Quaderno di Dipartimento QDD 144, Dipartimento di Matematica, Politecnico di Milano, Italy, 2013 & Department of Economics and Statistics Working Paper Series 17, Universit` a degli Studi di Torino, Italy, 2013. ISSN 2279-7114. 32. S.Baccarin, D. Marazzina, Optimal Impulse Control of a Portfolio with a Fixed Transaction Cost, Quaderno di Dipartimento QDD 138, Dipartimento di Matematica, Politecnico di Milano, Italy, 2012. 33. D. Sesana, D.Marazzina, G.Fusai, Pricing Exotic Derivatives Exploiting Structure, Quaderno di Dipartimento QDD 128, Dipartimento di Matematica, Politecnico di Milano, Italy, 2012. 34. D.Marazzina, G.Fusai, G.Germano, Pricing Credit Derivatives in a Wiener-Hopf Framework, Quaderno di Dipartimento QDD 106, Dipartimento di Matematica, Politecnico di Milano, Italy, 2011. 35. D.Marazzina, Pricing Fixed and Floating Asian Options in a Discretely Monitored Framework, Premia 14 Documentation, MathFi, INRIA, Paris, France, 2011. 36. D.Marazzina, O.Reichmann, Ch.Schwab, hp-DGFEM for Kolmogorov-Fokker-Planck Equations of Multivariate L´evy Processes, Research Report No. 2011-17, SAM - Seminar for Applied Mathematics, ETH, Zurich, Switzerland, 2011. 37. E.Barucci, D.Marazzina, Optimal Investment, Stochastic Labor Income and Retirement, Quaderno di Dipartimento QDD 89, Dipartimento di Matematica, Politecnico di Milano, Italy, 2011. 38. S.Corsaro, D.Marazzina, Z.Marino, Wavelet techniques for option pricing on advanced architectures, Quaderno di Dipartimento QDD 88, Dipartimento di Matematica, Politecnico di Milano, Italy, 2011. 39. G.Fusai, D.Marazzina, M.Marena, Pricing Discretely Monitored Asian Options by Maturity Randomization, Quaderno SEMeQ N.15-2009, Dipartimento di Scienze Economiche e Metodi Quantitativi, Universit` a degli Studi del Piemonte Orientale, Italy, 2009. 40. G.Fusai, D.Marazzina, M.Marena, M.Ng, Randomization and Preconditioning Techniques for Option Pricing, Quaderno SEMeQ N.1-2009, Dipartimento di Scienze Economiche e Metodi Quantitativi, Universit` a degli Studi del Piemonte Orientale, Italy, 2009. 41. M.Marena, D.Marazzina, G.Fusai, Option Pricing, Maturity Randomization and Grid Computing, Quaderno SEMeQ N.24-2007, Dipartimento di Scienze Economiche e Metodi Quantitativi, Universit`a degli Studi del Piemonte Orientale, Italy, 2007. 42. D.Marazzina, Stability Properties of Discontinuous Galerkin Methods for Two-Dimensional Elliptic Problems, Quaderno SEMeQ N.15-2007, Dipartimento di Scienze Economiche e Metodi Quantitativi, Universit` a degli Studi del Piemonte Orientale, Italy, 2007. 43. D.Marazzina, Interest Rate Modelling: A Matlab Implementation, Quaderno SEMeQ N.13-2007, Dipartimento di Scienze Economiche e Metodi Quantitativi, Universit`a degli Studi del Piemonte Orientale, Italy, 2007. Published on RePEc (Research Papers in Economics, http://repec.org). [PDF] 44. D.Marazzina, S.Rovida, G.Sacchi, O.Salas, S.Scacchi, A Parallel Preconditioner for 2D Elliptic Boundary Values Problems, Pubblicazione IMATI-CNR, N.32-PV, 2006. 45. D.Marazzina, Discontinuous Galerkin Methods with Minimal Stabilization for Two-Dimensional Elliptic Problems, Pubblicazione IMATI-CNR, N.14-PV, 2006. 3/ 3
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