Details about Nicola Bruti-Liberati

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

Access statistics for papers by Nicola Bruti-Liberati.

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Short-id: pbr185

Working Papers

2009

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

2008

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

2007

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

2006

4. Approximation of Jump Diffusions in Finance and Economics
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
   See also Journal Article Approximation of jump diffusions in finance and economics, Computational Economics, Springer (2007) View citations (6) (2007)
5. On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)

2005

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

2004

9. 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 View citations (7)

Journal Articles

2010

1. Real-world jump-diffusion term structure models
   Quantitative Finance, 2010, 10, (1), 23-37 View citations (17)

2009

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

2008

3. A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
   Mathematics and Computers in Simulation (MATCOM), 2008, 77, (1), 45-56 View citations (3)
   See also Working Paper A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation, Research Paper Series (2005) View citations (2) (2005)

2007

4. Approximation of jump diffusions in finance and economics
   Computational Economics, 2007, 29, (3), 283-312 View citations (6)
   See also Working Paper Approximation of Jump Diffusions in Finance and Economics, Research Paper Series (2006) View citations (3) (2006)

2006

5. First Order Strong Approximations of Jump Diffusions
   Monte Carlo Methods and Applications, 2006, 12, (3), 191-209 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 View citations (27)