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Details about Nicola Bruti-Liberati

This author is deceased (2007-08-28).

Access statistics for papers by Nicola Bruti-Liberati.

Last updated 2021-05-29. Update your information in the RePEc Author Service.

Short-id: pbr185


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Working Papers

2009

  1. Alternative Defaultable Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads
    See also Journal Article in Asia-Pacific Financial Markets (2009)

2008

  1. Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (6)

2007

  1. Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (4)

2006

  1. Approximation of Jump Diffusions in Finance and Economics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Computational Economics (2007)
  2. On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)

2005

  1. A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (2)
    See also Journal Article in Mathematics and Computers in Simulation (MATCOM) (2008)
  2. On the Strong Approximation of Jump-Diffusion Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)
  3. On the Strong Approximation of Pure Jump Processes
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

2004

  1. On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (7)

Journal Articles

2010

  1. Real-world jump-diffusion term structure models
    Quantitative Finance, 2010, 10, (1), 23-37 Downloads View citations (13)

2009

  1. Alternative Defaultable Term Structure Models
    Asia-Pacific Financial Markets, 2009, 16, (1), 1-31 Downloads
    See also Working Paper (2009)

2008

  1. A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
    Mathematics and Computers in Simulation (MATCOM), 2008, 77, (1), 45-56 Downloads View citations (3)
    See also Working Paper (2005)

2007

  1. Approximation of jump diffusions in finance and economics
    Computational Economics, 2007, 29, (3), 283-312 Downloads View citations (5)
    See also Working Paper (2006)

2006

  1. First Order Strong Approximations of Jump Diffusions
    Monte Carlo Methods and Applications, 2006, 12, (3), 191-209 Downloads View citations (3)

Books

2007

  1. Numerical Solution of Stochastic Differential Equations with Jumps in Finance
    PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney Downloads View citations (23)
 
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