Concepedia

Carlo Sgarra

CS

Statistics

Publications

22

Citations

723

H-Index

16

Active since

1993

Affiliations

Politecnico di Milano(Current)

University of Milano-Bicocca

TU Wien

Université Paris Cité

University of Padua

Carlo Sgarra is an author at Politecnico di Milano specializing in stochastic processes, financial economics, and economics.

ORCID

Publications per year

1993–2023

22

Publications

22

Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

Friedrich Hubalek, Carlo Sgarra · Quantitative Finance · 2006 · 113 citations · Full text

, , +10

An exact analytical solution for discrete barrier options

Gianluca Fusai, I. David Abrahams, Carlo Sgarra · Finance and Stochastics · 2005 · 92 citations

, , +4

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 · 67 citations

, , +16

A branching process approach to power markets

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

, , +11

The Risk Premium and the Esscher Transform in Power Markets

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

, , +17

1–5 of 22