Items where Author is "Gabbriellini, Tommaso"

Bemporad, 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)

Bemporad, Alberto and Puglia, Laura and Gabbriellini, Tommaso A stochastic model predictive control approach to dynamic option hedging with transaction costs. In: Proceedings of the American Control Conference (ACC), 2011. IEEE, pp. 3862-3867. ISBN 978-1-4577-0080-4 (2011)

Bemporad, 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)