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Information on didactic, research and institutional assignments on this page are certified by the University; more information, prepared by the professor, are available on the personal web page and in the curriculum vitae indicated on this webpage.
Information on professor
ProfessorMarazzina Daniele
QualificationAssociate professor
Belonging DepartmentDipartimento di Matematica
Scientific-Disciplinary SectorSECS-S/06 - Mathematical Methods Of Economics, Finance And Actuarial Sciences
Curriculum VitaeDownload CV (186.83Kb - 23/07/2018)
OrcIDhttps://orcid.org/0000-0001-6107-9822

Contacts
Professor's office hours
DepartmentFloorOfficeDayTimetableTelephoneFaxNotes
Matematica------From :
To :
+39.02.2399.4630--Ricevimento su appuntamento
E-maildaniele.marazzina@polimi.it
Professor's personal websitehttps://www.qfinlab.polimi.it/marazzina/

Data source: RE.PUBLIC@POLIMI - Research Publications at Politecnico di Milano

List of publications and reserach products for the year 2019 (Show all details | Hide all details)
Type Title of the Publicaiton/Product
Journal Articles
A general framework for pricing Asian options under stochastic volatility on parallel architectures (Show >>)
Integrated structural approach to Credit Value Adjustment (Show >>)
Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Show >>)


List of publications and reserach products for the year 2018 (Show all details | Hide all details)
Type Title of the Publicaiton/Product
Journal Articles
Hilbert transform, spectral filters and option pricing (Show >>)
On relative performance, remuneration and risk taking of asset managers (Show >>)
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Show >>)


List of publications and reserach products for the year 2017
No product yet registered in the year 2017


List of publications and reserach products for the year 2016 (Show all details | Hide all details)
Type Title of the Publicaiton/Product
Journal Articles
Optimal Investment in Research and Development Under Uncertainty (Show >>)
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Show >>)
Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints (Show >>)
Asset management, High Water Mark and flow of funds (Show >>)


List of publications and reserach products for the year 2015 (Show all details | Hide all details)
Type Title of the Publicaiton/Product
Journal Articles
A parallel wavelet-based pricing procedure for Asian options (Show >>)
RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING (Show >>)
American option valuation in a stochastic volatility model with transaction costs (Show >>)
manifesti v. 3.1.8 / 3.1.8
Area Servizi ICT
15/11/2019