Marco de Innocentis

Pricing discrete barrier options and credit default swaps under Lévy processes

S. Levendorskii, Marco de Innocentis, 2014 .

Prices of Barrier and First-Touch Digital Options in Levy-Driven Models, Near Barrier

S. Levendorskii, M. Boyarchenko, Marco de Innocentis, 2009 .

Calibration and Backtesting of the Heston Model for Counterparty Credit Risk

S. Levendorskii, Marco de Innocentis, 2016 .

Fast Calculation of Prices and Sensitivities of European Options Under Variance Gamma

Marco de Innocentis, 2011 .

Efficient Simulation of the Multi Asset Heston Model

Marco de Innocentis, R. Lichters, Markus Trahe, 2016 .

Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes

Sergei Levendorskii, S. Levendorskii, Marco de Innocentis, 2012 .