Carlo Sgarra

An exact analytical solution for discrete barrier options

Gianluca Fusai, I. David Abrahams, Carlo Sgarra · Finance and Stochastics · 2005 · 90 citations

Mathematical Programming, Option Pricing, Engineering +6

The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach

Luca Vincenzo Ballestra, Carlo Sgarra · Computers & Mathematics with Applications · 2010 · 65 citations

Option Pricing, Multivariate Stochastic Volatility, Volatility Modeling +11

A branching process approach to power markets

Ying Jiao, Chunhua Ma, Simone Scotti et al. · Energy Economics · 2018 · 54 citations · Full text

Power Market, Economics, Power Trading +5

The Risk Premium and the Esscher Transform in Power Markets

Fred Espen Benth, Carlo Sgarra · Stochastic Analysis and Applications · 2011 · 36 citations · Full text

Power Market, Economics, Hedging Pressure +15

Numerical analysis of a shock-wave solution of the Enskog equation obtained via a Monte Carlo method

Aldo Frezzotti, Carlo Sgarra · Journal of Statistical Physics · 1993 · 30 citations

Numerical Analysis, Numerical Method For Partial Differential Equation, Engineering +9