IDEAS home Printed from https://ideas.repec.org/f/pma1907.html
   My authors  Follow this author

Marina Marena

Personal Details

First Name:Marina
Middle Name:
Last Name:Marena
Suffix:
RePEc Short-ID:pma1907
[This author has chosen not to make the email address public]

Affiliation

Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche
Università degli Studi di Torino

Torino, Italy
http://www.esomas.unito.it/
RePEc:edi:dstorit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015. "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks 439, Collegio Carlo Alberto.
  2. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto, revised 2015.

Articles

  1. Di Nardo, E. & Marena, M. & Semeraro, P., 2020. "On non-linear dependence of multivariate subordinated Lévy processes," Statistics & Probability Letters, Elsevier, vol. 166(C).
  2. Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
  3. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.
  4. Jevtić, Petar & Marena, Marina & Semeraro, Patrizia, 2017. "A note on Marked Point Processes and multivariate subordination," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 162-167.
  5. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2016. "Dependence calibration and portfolio fit with factor-based subordinators," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1037-1052, July.
  6. Gianluca Fusai & Daniele Marazzina & Marina Marena & Michael Ng, 2012. "Z -Transform and preconditioning techniques for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1381-1394, November.
  7. Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.
  8. M. Marena & L. Montrucchio, 1999. "Neighborhood Turnpike Theorem for Continuous-Time Optimization Models," Journal of Optimization Theory and Applications, Springer, vol. 101(3), pages 651-676, June.
  9. Renato Camillo & Marina Marena, 1994. "Un metodo di valutazione di un portafoglio assicurativo vita," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 17(2), pages 61-77, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015. "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks 439, Collegio Carlo Alberto.

    Cited by:

    1. Kunz, Alexis H. & Messner, Claude & Wallmeier, Martin, 2017. "Investors’ risk perceptions of structured financial products with worst-of payout characteristics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 66-73.
    2. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.

  2. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto, revised 2015.

    Cited by:

    1. Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016. "A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
    2. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018. "Calibration for Weak Variance-Alpha-Gamma Processes," Papers 1801.08852, arXiv.org, revised Jul 2018.
    3. Roman V. Ivanov, 2018. "A Credit-Risk Valuation under the Variance-Gamma Asset Return," Risks, MDPI, vol. 6(2), pages 1-25, May.
    4. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.
    5. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2015. "Pricing multivariate barrier reverse convertibles with factor-based subordinators," Carlo Alberto Notebooks 439, Collegio Carlo Alberto.
    6. Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.
    7. Roman V. Ivanov, 2018. "Option Pricing In The Variance-Gamma Model Under The Drift Jump," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-19, June.

Articles

  1. Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.

    Cited by:

    1. Patrizia Semeraro, 2022. "Multivariate tempered stable additive subordination for financial models," Mathematics and Financial Economics, Springer, volume 16, number 3, December.
    2. Di Nardo, E. & Marena, M. & Semeraro, P., 2020. "On non-linear dependence of multivariate subordinated Lévy processes," Statistics & Probability Letters, Elsevier, vol. 166(C).
    3. Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.

  2. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.

    Cited by:

    1. Patrizia Semeraro, 2022. "Multivariate tempered stable additive subordination for financial models," Mathematics and Financial Economics, Springer, volume 16, number 3, December.
    2. Giovanni Amici & Paolo Brandimarte & Francesco Messeri & Patrizia Semeraro, 2023. "Multivariate L\'evy Models: Calibration and Pricing," Papers 2303.13346, arXiv.org, revised Jul 2023.
    3. Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.

  3. Jevtić, Petar & Marena, Marina & Semeraro, Patrizia, 2017. "A note on Marked Point Processes and multivariate subordination," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 162-167.

    Cited by:

    1. Petar Jevtić & Marina Marena & Patrizia Semeraro, 2019. "Multivariate Marked Poisson Processes And Market Related Multidimensional Information Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-26, March.

  4. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2016. "Dependence calibration and portfolio fit with factor-based subordinators," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1037-1052, July.

    Cited by:

    1. Lynn Boen & Florence Guillaume, 2020. "Towards a $$\Delta $$Δ-Gamma Sato multivariate model," Review of Derivatives Research, Springer, vol. 23(1), pages 1-39, April.
    2. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2019. "Calibration for Weak Variance-Alpha-Gamma Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1151-1164, December.
    3. Jie Chen & Liaoyuan Fan & Lingfei Li & Gongqiu Zhang, 2022. "A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation," Review of Derivatives Research, Springer, vol. 25(2), pages 189-232, July.
    4. Boris Buchmann & Kevin W. Lu & Dilip B. Madan, 2018. "Calibration for Weak Variance-Alpha-Gamma Processes," Papers 1801.08852, arXiv.org, revised Jul 2018.
    5. Patrizia Semeraro, 2022. "Multivariate tempered stable additive subordination for financial models," Mathematics and Financial Economics, Springer, volume 16, number 3, December.
    6. Roman V. Ivanov, 2018. "A Credit-Risk Valuation under the Variance-Gamma Asset Return," Risks, MDPI, vol. 6(2), pages 1-25, May.
    7. Marina Marena & Andrea Romeo & Patrizia Semeraro, 2018. "Multivariate Factor-Based Processes With Sato Margins," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-30, February.
    8. Roman V. Ivanov, 2024. "On Properties of the Hyperbolic Distribution," Mathematics, MDPI, vol. 12(18), pages 1-20, September.
    9. Roman V. Ivanov, 2018. "Option Pricing In The Variance-Gamma Model Under The Drift Jump," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-19, June.
    10. Patrizia Semeraro, 2021. "Multivariate tempered stable additive subordination for financial models," Papers 2105.00844, arXiv.org, revised Sep 2021.
    11. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.

  5. Gianluca Fusai & Daniele Marazzina & Marina Marena & Michael Ng, 2012. "Z -Transform and preconditioning techniques for option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1381-1394, November.

    Cited by:

    1. S. Corsaro & D. Marazzina & Z. Marino, 2015. "A parallel wavelet-based pricing procedure for Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 15(1), pages 101-113, January.
    2. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics 67564, London School of Economics and Political Science, LSE Library.
    3. Sesana, Debora & Marazzina, Daniele & Fusai, Gianluca, 2014. "Pricing exotic derivatives exploiting structure," European Journal of Operational Research, Elsevier, vol. 236(1), pages 369-381.

  6. Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.

    Cited by:

    1. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    2. Fred Espen Benth, 2021. "Pricing of Commodity and Energy Derivatives for Polynomial Processes," Mathematics, MDPI, vol. 9(2), pages 1-30, January.
    3. Pun, Chi Seng & Chung, Shing Fung & Wong, Hoi Ying, 2015. "Variance swap with mean reversion, multifactor stochastic volatility and jumps," European Journal of Operational Research, Elsevier, vol. 245(2), pages 571-580.
    4. Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options," Papers 1706.09659, arXiv.org.
    5. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Ning Cai & Yingda Song & Steven Kou, 2015. "A General Framework for Pricing Asian Options Under Markov Processes," Operations Research, INFORMS, vol. 63(3), pages 540-554, June.
    7. Yingda Song & Ning Cai & Steven Kou, 2018. "Computable Error Bounds of Laplace Inversion for Pricing Asian Options," INFORMS Journal on Computing, INFORMS, vol. 30(4), pages 634-645, January.
    8. Weinan Zhang & Pingping Zeng, 2023. "A transform-based method for pricing Asian options under general two-dimensional models," Quantitative Finance, Taylor & Francis Journals, vol. 23(11), pages 1677-1697, November.
    9. Benjamin Tin Chun Cheng, 2017. "Pricing and Hedging of Long-Dated Commodity Derivatives," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2017, January-A.
    10. Cartea, Álvaro & González-Pedraz, Carlos, 2010. "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB wb103206, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    11. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
    12. Zhigang Tong & Allen Liu, 2018. "Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-21, March.
    13. Hideharu Funahashi & Masaaki Kijima, 2017. "A unified approach for the pricing of options relating to averages," Review of Derivatives Research, Springer, vol. 20(3), pages 203-229, October.
    14. Min, Aleksey & Czado, Claudia, 2014. "SCOMDY models based on pair-copula constructions with application to exchange rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 523-535.
    15. Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong, 2019. "Generalized Mean-Reverting 4/2 Factor Model," JRFM, MDPI, vol. 12(4), pages 1-21, October.
    16. Chung, Shing Fung & Wong, Hoi Ying, 2014. "Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 130-140.
    17. Fred Espen Benth & Paul Kettler, 2010. "Dynamic copula models for the spark spread," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 407-421.
    18. Wu, Bin & Chen, Pengzhan & Ye, Wuyi, 2024. "Variance swaps with mean reversion and multi-factor variance," European Journal of Operational Research, Elsevier, vol. 315(1), pages 191-212.
    19. Roncoroni, Andrea & Id Brik, Rachid, 2017. "Hedging size risk: Theory and application to the US gas market," Energy Economics, Elsevier, vol. 64(C), pages 415-437.
    20. Cui, Zhenyu & Lee, Chihoon & Liu, Yanchu, 2018. "Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes," European Journal of Operational Research, Elsevier, vol. 266(3), pages 1134-1139.
    21. Zhenyu Cui & Chihoon Lee & Yanchu Liu, 2016. "On "A General Framework for Pricing Asian Options Under Markov Processes"," Papers 1601.05306, arXiv.org.
    22. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
    23. Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.

  7. M. Marena & L. Montrucchio, 1999. "Neighborhood Turnpike Theorem for Continuous-Time Optimization Models," Journal of Optimization Theory and Applications, Springer, vol. 101(3), pages 651-676, June.

    Cited by:

    1. Alain Venditti, 2011. "Weak Concavity Properties of Indirect Utility Functions in Multisector Optimal Growth Models," Working Papers halshs-01059589, HAL.
    2. Vassili Kolokoltsov & Wei Yang, 2012. "Turnpike Theorems for Markov Games," Dynamic Games and Applications, Springer, vol. 2(3), pages 294-312, September.
    3. Darong Dai, 2013. "Wealth Martingale and Neighborhood Turnpike Property In Dynamically Complete Market With Heterogeneous Investors," Economic Research Guardian, Mutascu Publishing, vol. 3(2), pages 86-110, December.
    4. Dai, Darong, 2011. "Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors," MPRA Paper 46416, University Library of Munich, Germany.
    5. Guerrero-Luchtenberg, C.L., 2000. "A uniform neighborhood turnpike theorem and applications," Journal of Mathematical Economics, Elsevier, vol. 34(3), pages 329-357, November.

  8. Renato Camillo & Marina Marena, 1994. "Un metodo di valutazione di un portafoglio assicurativo vita," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 17(2), pages 61-77, September.

    Cited by:

    1. Carlo Alberto, Magni, 2008. "Splitting Up Value: A Critical Review of Residual Income Theories," MPRA Paper 10506, University Library of Munich, Germany.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (1) 2013-11-16

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Marina Marena should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.