Daniele Marazzina

TL;DR: This work proposes a constructive procedure for the computation of the Wiener-Hopf factors, valid for both single and double barriers, based on the combined use of the Hilbert and the z-transform, and shows that the computational cost is independent of the number of monitoring dates and the error decays exponentially with thenumber of grid points.

TL;DR: A new methodology based on maturity randomization to price discretely monitored arithmetic Asian options when the underlying asset evolves according to a generic Levy process is presented.

TL;DR: It is shown that labor, portfolio and retirement decisions interact in a complex way depending on the spanning opportunities.

TL;DR: A numerical scheme to calculate fluctuation identities for exponential Levy processes in the continuous monitoring case including the Spitzer identities for touching a single upper or lower barrier, and the more difficult case of the two-barriers exit problem is presented.

TL;DR: A new fast and accurate numerical method for pricing exotic derivatives when discrete monitoring occurs, and the underlying evolves according to a Markov one-dimensional stochastic processes.