Lucio Fiorin

Lucio Fiorin

Università degli Studi di Padova - Padova / Italy
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 5203132
University of Padua
person_outline Lucio Fiorin's MOST POPULAR ARTICLES
1-) Pricing via recursive quantization in stochastic volatility modelsG Callegaro, L Fiorin, M GrasselliQuantitative Finance 17 (6), 855-872, 2017292017
2-) Product Markovian quantization of a diffusion process with applications to financeL Fiorin, G Pagès, A SagnaMethodology and Computing in Applied Probability 21, 1087-1118, 2019252019
3-) Pricing and calibration in local volatility models via fast quantizationG Callegaro, L Fiorin, M GrasselliAvailable at SSRN 2495829, 2014252014
4-) Quantization meets Fourier: a new technology for pricing optionsG Callegaro, L Fiorin, M GrasselliAnnals of Operations Research 282, 59-86, 2019222019
5-) American quantized calibration in stochastic volatilityG Callegaro, L Fiorin, M GrasselliRisk Magazine 31 (2), 84-88, 2018