Items where Author is "Bellucci, Leonardo"
Number of items: 2. 2014Bemporad, Alberto and Bellucci, Leonardo and Gabbriellini, Tommaso Dynamic option hedging via stochastic model predictive control based on scenario simulation. Quantitative Finance, 14 (10). pp. 1739-1751. ISSN 1469-7696 (2014) 2010Bemporad, Alberto and Gabbriellini, Tommaso and Puglia, Laura and Bellucci, Leonardo Scenario-based stochastic model predictive control for dynamic option hedging. In: Decision and Control Conference. IEEE, Hilton Atlanta Hotel, Atlanta, December 15-17, 2010, 6089 -6094. ISBN 978-1-4244-7745-6 (2010) |
