Gianluca Fusai

Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa

Full Professor

Via Perrone, 18

Novara, 28100

Italy

http://https://upobook.uniupo.it/gianluca.fusai

Sir John Cass Business School - City, University of London

106 Bunhill Row

London, EC2Y 8HB

Great Britain

http:// www.cass.city.ac.uk/experts/G.Fusai

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 4,920

SSRN RANKINGS

Top 4,920

in Total Papers Downloads

10,260

SSRN CITATIONS
Rank 15,798

SSRN RANKINGS

Top 15,798

in Total Papers Citations

40

CROSSREF CITATIONS

30

Scholarly Papers (25)

1.

Tools from Stochastic Analysis for Mathematical Finance: A Gentle Introduction

Number of pages: 319 Posted: 10 Jun 2018
Laura Ballotta and Gianluca Fusai
Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 2,309 (7,319)

Abstract:

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Stochastic Calculus, Heston model, Jump models, Brownian motion, mathematical finance

2.

A Gentle Introduction to Value at Risk

Number of pages: 86 Posted: 28 Mar 2017
Laura Ballotta and Gianluca Fusai
Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 1,839 (10,593)
Citation 2

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Value at Risk, Parametric, Non Parametric, Delta-Gamma, Portfolio Modelling, Backtesting

3.

A Gentle Introduction to Default Risk and Counterparty Credit Modelling

Number of pages: 57 Posted: 01 Aug 2016
Laura Ballotta, Gianluca Fusai and Marina Marena
Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Downloads 1,675 (12,295)
Citation 1

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Credit Value Adjustment, Debt Value Adjustment, Netting Collateral, Default Risk, Probability of Default

4.

Commodity Asian Options: A Closed-Form Formula

EFA 2008 Athens Meetings Paper
Number of pages: 27 Posted: 06 Mar 2008
Gianluca Fusai, Marina Marena and Andrea Roncoroni
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Eastern Piedmont and ESSEC Business School
Downloads 967 (28,242)
Citation 1

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Asian options, discrete monitoring, Laplace transform, Fourier transform, Commodity

5.

Equally Diversified or Equally Weighted?

Number of pages: 22 Posted: 09 Jul 2020
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Qatar Investment Authority, Sarasin & Partners LLP and Sarasin & Partners
Downloads 408 (86,740)

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Diversification Measure, Portfolio Allocation, Risk Contribution, Euler decomposition

6.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 367 (97,977)
Citation 12

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Basket option, Lower Bound, Non Gaussian models, Upper Bound, Fourier Transform, Exotic option

7.

A General Closed-Form Spread Option Pricing Formula

Number of pages: 36 Posted: 18 Jan 2014
Ruggero Caldana and Gianluca Fusai
Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 353 (102,432)
Citation 5

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Spread option, exchange option, stochastic process, characteristic function, Fourier inversion, control variate.

8.

A Market Consistent Framework for the Fair Evaluation of Insurance Contracts Under Solvency II

Number of pages: 36 Posted: 02 Feb 2018 Last Revised: 29 Apr 2018
University of Piemonte Orientale, UnipolSai Assicurazioni SpA, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 320 (114,143)
Citation 3

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Solvency II, economic scenario generator, minimum guaranteed option, sensitivity analysis

9.

Integrated Structural Approach to Credit Value Adjustment

Number of pages: 36 Posted: 21 Dec 2015 Last Revised: 05 May 2018
Laura Ballotta, Gianluca Fusai and Daniele Marazzina
Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Polytechnic University of Milan - Department of Mathematics
Downloads 312 (117,276)
Citation 3

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Counterparty Credit Risk, Collateral, Dependence, Gap Risk, Initial Margin, Lévy Processes, Netting

10.

Default Risk Premium and Asset Prices

Number of pages: 44 Posted: 30 May 2015 Last Revised: 07 Jan 2021
Raffaele Corvino and Gianluca Fusai
University of Torino & CERP and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 217 (169,020)
Citation 1

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Structural Estimation, Kalman Filter, Default Risk, Distress Puzzle

11.

Counterparty Credit Risk in a Multivariate Structural Model with Jumps

Number of pages: 39 Posted: 09 Feb 2013 Last Revised: 11 Oct 2014
Laura Ballotta and Gianluca Fusai
Business School (formerly Cass) - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 217 (169,020)
Citation 3

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Counterparty Risk, Credit Value Adjustment, Debt Value Adjustment, Levy Processes, Normal Inverse Gaussian, Wrong Way Risk

12.

Estimation of Multivariate Asset Models with Jumps

Number of pages: 33 Posted: 21 Apr 2015 Last Revised: 21 Sep 2018
ARPM, Business School (formerly Cass) - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Wilfrid Laurier University - School of Business & Economics
Downloads 208 (175,978)
Citation 5

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Multivariate Lévy models, Jump models, Factor models, Principal Components, Maximum Likelihood, EM algorithm, Intra-horizon Value at Risk

13.

Quantitative Assessment of Common Practice Procedures in the Fair Evaluation of Embedded Options in Insurance Contracts

Number of pages: 28 Posted: 18 Nov 2016 Last Revised: 28 Sep 2017
University of Piemonte Orientale, UnipolSai Assicurazioni SpA, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Deloitte Consulting Srl
Downloads 190 (191,175)
Citation 2

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Minimum Guaranteed Fund, Segregated Insurance Fund, Embedded Options, Credit Risk, Liquidity Risk

14.

Electricity Forward Curves with Thin Granularity

Number of pages: 43 Posted: 12 May 2016 Last Revised: 12 Feb 2017
Ruggero Caldana, Gianluca Fusai and Andrea Roncoroni
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and ESSEC Business School
Downloads 185 (195,782)
Citation 3

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Energy Finance, Forward Pricing, Electricity Markets, Forward Curve Construction

15.

Approximate Pricing of Swaptions in Affine and Quadratic Models

Number of pages: 39 Posted: 15 Sep 2015 Last Revised: 09 Jul 2016
Anna Gambaro, Ruggero Caldana and Gianluca Fusai
University of Piemonte Orientale, Independent and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 146 (239,028)
Citation 1

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Pricing, swaptions, affine-quadratic models, Fourier transform, bounds

16.

Practical Problems in the Numerical Solution of PDE's in Finance

Rendiconti per gli Studi Economici Quantitativi, Università Ca’ Foscari Venezia, Vol. 2001 (2002), 105-132.
Number of pages: 25 Posted: 30 Mar 2013 Last Revised: 02 Apr 2013
Gianluca Fusai, Simona Sanfelici and Aldo Tagliani
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Parma - Dipartimento di Economia and University of Trento - Department of Economics and Management
Downloads 121 (276,427)

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Numerical Solution of PDE, Finite Difference, Finite Elements, Black-Scholes model, Discontinuous Payoff

17.

New Efficient Frontier: Can Structured Products Really Improve Risk-Return Profile?

CAREFIN Research Paper No. 28/2010
Number of pages: 41 Posted: 05 Apr 2011
Gianluca Fusai and Giovanna Zanotti
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Bergamo
Downloads 90 (337,509)

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18.

Asian Options with Jumps

Number of pages: 23 Posted: 13 Nov 2015
Marina Marena, Andrea Roncoroni and Gianluca Fusai
University of Eastern Piedmont, ESSEC Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 86 (347,086)
Citation 1

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Asian-style options, Price models with jumps, Transform methods, Com- modity markets, Energy markets

19.

Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options

European Journal of Operational Research, Volume 251, Issue 1, 16 May 2016, Pages 124-134
Number of pages: 30 Posted: 20 May 2016
Gianluca Fusai, Guido Germano and Daniele Marazzina
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University College London and Polytechnic University of Milan - Department of Mathematics
Downloads 66 (403,019)
Citation 4

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Path-dependent options, Hilbert transform, Lévy process, Spitzer identity, Wiener-Hopf factorization

20.

General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options

Mathematics of Operations Research, 2016, 41(2), 531-559
Number of pages: 37 Posted: 04 May 2016 Last Revised: 06 May 2016
Gianluca Fusai and Ioannis Kyriakou
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and City University London - Sir John Cass Business School
Downloads 59 (426,397)
Citation 10

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arithmetic Asian options, CEV diffusion, stochastic volatility models, Lévy processes, discrete average, continuous average

21.

Hilbert Transform, Spectral Filtering and Option Pricing

Number of pages: 30 Posted: 04 Jul 2017
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University College London
Downloads 58 (429,816)
Citation 3

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Double-Barrier Options, Discrete Monitoring, Lévy Processes, Spitzer Identity, Wiener-Hopf Factorisation, Hilbert Transform, Fourier Transform, FFT, Z-Transform, Sinc Function, Gibbs Phenomenon, Spectral Filtering

22.

Moment-Matching Approximations for Stochastic Sums in Non-Gaussian Ornstein–Uhlenbeck Models

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 35 Posted: 28 Jan 2021
Riccardo Brignone, Ioannis Kyriakou and Gianluca Fusai
University of Freiburg, City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Downloads 32 (546,827)

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Mean reversion, non-Gaussian processes, moment-matching, Asian option valuation, stochastic annuities

23.

Fluctuation Identities with Continuous Monitoring and Their Application to Price Barrier Options

Number of pages: 30 Posted: 05 Dec 2017
University College London - Financial Computing and Analytics Group, Department of Computer Science, Polytechnic University of Milan - Department of Mathematics, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University College London
Downloads 18 (629,174)
Citation 2

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Finance, Wiener-Hopf Factorisation, Hilbert Transform, Laplace Transform, Spectral Filter

24.

Component Replacement Under Uncertainty - A Switching Option Perspective

Number of pages: 33 Posted: 10 Mar 2021
Gianluca Fusai, Ioannis Kyriakou and Matteo Castiglioni
Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, City University London - Sir John Cass Business School and affiliation not provided to SSRN
Downloads 16 (643,102)

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Component replacement, uncertainty, switching option, cost-effectiveness analysis

25.

The Wiener–Hopf Technique and Discretely Monitored Path-Dependent Option Pricing

Mathematical Finance, Vol. 20, Issue 2, pp. 259-288, April 2010
Number of pages: 30 Posted: 29 Mar 2010
Ross Green, Gianluca Fusai and I. David Abrahams
affiliation not provided to SSRN, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and affiliation not provided to SSRN
Downloads 1 (764,215)
Citation 1
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