A general closed-form spread option pricing formula R Caldana, G Fusai Journal of Banking & Finance 37 (12), 4893-4906, 2013 | 86 | 2013 |
General closed-form basket option pricing bounds R Caldana, G Fusai, A Gnoatto, M Grasselli Quantitative Finance 16 (4), 535-554, 2016 | 61 | 2016 |
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market R Caldana, G Fusai, A Roncoroni European Journal of Operational Research 261 (2), 715-734, 2017 | 21 | 2017 |
Correction: Exchange option under jump-diffusion dynamics R Caldana, GHL Cheang, C Chiarella, G Fusai Applied Mathematical Finance 22 (1), 99-103, 2015 | 17 | 2015 |
Approximate Pricing of Swaptions in Affine and Quadratic Models AM Gambaro, R Caldana, G Fusai Quantitative Finance 17 (9), 1325-1345, 2017 | 4 | 2017 |
How to Build Electricity Forward Curves R Caldana, G Fusai, A Roncoroni Handbook of Multi-Commodity Markets and Products: Structuring, Trading and …, 2015 | 2 | 2015 |
Spread and basket option pricing: an application to interconnected power markets R Caldana Università di Milano Bicocca, 2012 | 1 | 2012 |
Accurate pricing of swaptions via Lower Bound AM Gambaro, R Caldana, G Fusai Handbook of Recent Advances in Commodity and Financial Modeling …, 2018 | | 2018 |