Stochastic modeling of wind derivatives in energy markets FE Benth, L Di Persio, S Lavagnini Risks 6 (2), 56, 2018 | 59 | 2018 |
Accuracy of deep learning in calibrating HJM forward curves FE Benth, N Detering, S Lavagnini Digital Finance, 1-40, 2021 | 17 | 2021 |
Correlators of polynomial processes FE Benth, S Lavagnini SIAM Journal on Financial Mathematics 12 (4), 1374-1415, 2021 | 9 | 2021 |
Deep Quadratic Hedging A Gnoatto, S Lavagnini, A Picarelli Mathematics of Operations Research, 2024 | 4 | 2024 |
Pricing Asian Options with Correlators S Lavagnini International Journal of Theoretical and Applied Finance 24 (08), 2150041, 2021 | 1 | 2021 |
CARMA approximations and estimation S Lavagnini Frontiers in Applied Mathematics and Statistics 6, 37, 2020 | 1 | 2020 |
A class of point-wise operating SPDE coefficients for HJM models N Detering, S Lavagnini arXiv preprint arXiv:2502.09486, 2025 | | 2025 |
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting A Gnoatto, S Lavagnini arXiv preprint arXiv:2312.13057, 2023 | | 2023 |
Stochastic Modelling in Energy Markets-From the Spot Price to Derivative Contracts S Lavagnini | | 2021 |