Concepedia

Ruggero Caldana

RC

6

Publications

193

Citations

6

H-Index

2013

Active since

Affiliations

City, University of London(Current)

Università degli Studi del Piemonte Orientale “Amedeo Avogadro”

University of Padua

Ruggero Caldana is an author at City, University of London specializing in business, option pricing, and asset pricing.

Top concepts

BusinessAsset PricingOption PricingEngineeringFinancial EngineeringMathematical ProgrammingFinancePhysicsEconomicsStatistics

Publications per year

2013–2017

6

Publications

6

A general closed-form spread option pricing formula

Ruggero Caldana, Gianluca Fusai · Journal of Banking & Finance · 2013 · 79 citations

Mathematical Programming, Option Pricing, Asset Pricing +4

General closed-form basket option pricing bounds

Ruggero Caldana, Gianluca Fusai, Alessandro Gnoatto et al. · Quantitative Finance · 2015 · 46 citations

Mathematical Programming, Engineering, Basket Options +19

A General Closed-Form Spread Option Pricing Formula

Ruggero Caldana, Gianluca Fusai · SSRN Electronic Journal · 2013 · 25 citations · Full text

Mathematical Programming, Option Pricing, Asset Pricing +4

Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market

Ruggero Caldana, Gianluca Fusai, Andréa Roncoroni · European Journal of Operational Research · 2017 · 19 citations

Power Market, Electrical Engineering, Economics +10

Correction: Exchange Option under Jump-diffusion Dynamics

Ruggero Caldana, Gerald H. L. Cheang, Carl Chiarella et al. · Applied Mathematical Finance · 2014 · 13 citations

Engineering, Foreign Exchange Option, Correct Formula +17

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