| A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process G Bernis, R Brignone, S Scotti, C Sgarra Mathematics and Financial Economics 15 (4), 747-773, 2021 | 20 | 2021 |
| Asian options pricing in Hawkes-type jump-diffusion models R Brignone, C Sgarra Annals of Finance 16 (1), 101-119, 2020 | 17 | 2020 |
| Unified moment-based modelling of integrated stochastic processes I Kyriakou, R Brignone, G Fusai Operations Research, Forthcoming, 2022 | 11 | 2022 |
| Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models R Brignone, I Kyriakou, G Fusai Insurance: Mathematics and Economics 96, 232-247, 2021 | 9 | 2021 |
| Commodity Asian option pricing and simulation in a 4-factor model with jump clusters R Brignone, L Gonzato, C Sgarra Annals of Operations Research, 1-32, 2023 | 6 | 2023 |
| Efficient quasi-Bayesian estimation of affine option pricing models using risk-neutral cumulants R Brignone, L Gonzato, E Lütkebohmert Journal of Banking & Finance 148, 106745, 2023 | 5 | 2023 |
| Moments of integrated exponential Lévy processes and applications to Asian options pricing R Brignone Quantitative Finance 22 (9), 1717-1729, 2022 | 3 | 2022 |
| Arbitrage-free Nelson–Siegel model for multiple yield curves R Brignone, C Gerhart, E Lütkebohmert Mathematics and Financial Economics 16 (2), 239-266, 2022 | 1 | 2022 |
| Exact Simulation of the Multifactor Ornstein–Uhlenbeck Driven Stochastic Volatility Model R Brignone SIAM Journal on Scientific Computing 46 (3), A1441-A1460, 2024 | | 2024 |
| Exact simulation of the Hull and White stochastic volatility model R Brignone, L Gonzato Journal of Economic Dynamics and Control 163, 104861, 2024 | | 2024 |
| Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing R Brignone, L Gonzato, C Sgarra Quantitative Energy Finance: Recent Trends and Developments, 41-72, 2024 | | 2024 |
Carlo SgarraPolitecnico di MilanoVerified email at polimi.it
