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Publications by P. Pellizzari

Static Hedging of Multivariate Derivatives by Simulation

European Journal of Operational Research
Information SystemsSimulationManagement ScienceManagementComputer ScienceModelingOperations Research
2005English

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Installment Options and Static Hedging

2001English

Currency Hedging Strategies Using Dynamic Multivariate GARCH

SSRN Electronic Journal
2012English

Semi-Static Hedging of Barrier Options Under Poisson Jumps

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2011English

Static Hedging of Barrier Options With a Smile: An Inverse Problem

ESAIM - Control, Optimisation and Calculus of Variations
ControlComputational MathematicsOptimizationSystems Engineering
2002English

Simulation of Multivariate Extreme Values

Journal of Statistical Computation and Simulation
StatisticsProbabilityApplied MathematicsUncertaintySimulationModeling
1999English

Brake Disc Static Simulation

International Journal of Applied Engineering Research and Development
2018English

Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets

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2013English

Functional Principal Component Analysis for Derivatives of Multivariate Curves

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UncertaintyStatisticsProbability
2018English

Fuzzy Qualitative Simulation With Multivariate Constraints

2014English

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