Gianluca Fusai

Publications

1.3K

Citations

H-Index

2000

Active since

Affiliations

Università degli Studi del Piemonte Orientale “Amedeo Avogadro”(Current)

City, University of London

Politecnico di Milano

University of Turin

London School of Economics and Political Science

Gianluca Fusai is an author at Università degli Studi del Piemonte Orientale “Amedeo Avogadro” specializing in option pricing, business, and engineering.

ORCID

Top concepts

BusinessOption PricingEngineeringAsset PricingFinanceStatisticsMathematical ProgrammingEconomic AnalysisDiscrete MathematicsFinancial Engineering

Publications per year

2000–2023

Publications

Functional clustering and linear regression for peak load forecasting

Aldo Goia, Caterina May, Gianluca Fusai · International Journal of Forecasting · 2009 · 200 citations

Engineering, Data Science, Peak Load Forecasting +7

Pricing discretely monitored Asian options under Lévy processes

Gianluca Fusai, Attilio Meucci · Journal of Banking & Finance · 2008 · 140 citations

Option Pricing, Asset Pricing, Lévy Processes +5

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

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

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

Gianluca Fusai, Guido Germano, Daniele Marazzina · European Journal of Operational Research · 2015 · 78 citations · Full text

Spectral Theory, Option Pricing, Engineering +8

Rows per page

1–5 of 34