4
H index
2
i10 index
57
Citations
Marina Marena : Citation Profile
Università degli Studi di Torino | RESEARCH PRODUCTION: 9 Articles 2 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1994 - 2020). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marina Marena. | Is cited by:
| Cites to:
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Main data
Where Marina Marena has published?
| Journals with more than one article published | # docs |
|---|---|
| Statistics & Probability Letters | 2 |
| Quantitative Finance | 2 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Carlo Alberto Notebooks / Collegio Carlo Alberto | 2 |
Recent works citing Marina Marena (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Multivariate L\evy Models: Calibration and Pricing. (2023). Semeraro, Patrizia ; Messeri, Francesco ; Brandimarte, Paolo ; Amici, Giovanni. In: Papers. RePEc:arx:papers:2303.13346. Full description at Econpapers || Download paper |
| 2024 | Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212. Full description at Econpapers || Download paper |
| 2023 | A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zeng, Pingping ; Zhang, Weinan. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:11:p:1677-1697. Full description at Econpapers || Download paper |
Works by Marina Marena:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Dependence Calibration and Portfolio Fit with FactorBased Time Changes In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Pricing multivariate barrier reverse convertibles with factor-based subordinators In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 26 |
| 2017 | A note on Marked Point Processes and multivariate subordination In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 2020 | On non-linear dependence of multivariate subordinated Lévy processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 0 |
| 1994 | Un metodo di valutazione di un portafoglio assicurativo vita In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 1999 | Neighborhood Turnpike Theorem for Continuous-Time Optimization Models In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] | article | 6 |
| 2012 | Z -Transform and preconditioning techniques for option pricing In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
| 2016 | Dependence calibration and portfolio fit with factor-based subordinators In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 2018 | MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 3 |
| 2019 | MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team