In this paper we consider the problem of short-term peak load forecasting using past heating
demand data in a district-heating system. Our data-set consists of four separate periods, …

… Gianluca Fusai … Gianluca Fusai … Gianluca Fusai is Associate Professor in Financial
Calculus at Università degli Studi del Piemonte Orientale (Italy) and a Research Associate …

We propose a general modular approach to support decision‐makers' response in the early
stages of a pandemic with resource expansion, motivated by the shortage of Covid‐19‐…

We present methodologies to price discretely monitored Asian options when the underlying
evolves according to a generic Lévy process. For geometric Asian options we provide closed…

In the present paper we provide an analytical solution for pricing discrete barrier options in
the Black-Scholes framework. We reduce the valuation problem to a Wiener-Hopf equation …

We propose a new accurate method for pricing European spread options by extending the
lower bound approximation of Bjerksund and Stensland (2011) beyond the classical Black–…

The Wiener-Hopf factorization of a complex function arises in a variety of fields in applied
mathematics such as probability, finance, insurance, queuing theory, radio engineering and …

This article presents lower and upper bounds on the prices of basket options for a general
class of continuous-time financial models. The techniques we propose are applicable …

The aim of this paper is to analyze the performance of hedging strategies based on snow and
temperature options developed by ski operators to protect their profitability under adverse …

In the present paper we provide an analysis of a quadrature method combined with an
interpolation procedure for the valuation of discrete barrier options. The convergence of the …