Edit Profile (opens in new tab) Zanette, Antonino Compute Distance To: Compute Author ID: zanette.antonino Published as: Zanette, Antonino Documents Indexed: 23 Publications since 2002 Co-Authors: 18 Co-Authors with 22 Joint Publications 289 Co-Co-Authors all top 5 Co-Authors 0 single-authored 8 Gaudenzi, Marcellino 5 Caramellino, Lucia 5 Goudenège, Ludovic 5 Molent, Andrea 2 Appolloni, Elisa 2 Bally, Vlad 2 Villeneuve, Stéphane 1 Briani, Maya 1 Costabile, Massimo 1 Ern, Alexandre 1 Ferronato, Massimiliano 1 Janna, Carlo 1 Jourdain, Benjamin 1 Kudryavtsev, Oleg 1 Lepellere, Maria Antonietta 1 Massabó, Ivar 1 Pressacco, Flavio 1 Terenzi, Giulia 1 Wei, Xiao 1 Ziani, Laura all top 5 Serials 4 Decisions in Economics and Finance 4 Computational Management Science 3 International Journal of Theoretical and Applied Finance 2 Insurance Mathematics & Economics 2 Quantitative Finance 1 International Journal for Numerical Methods in Engineering 1 Mathematics of Operations Research 1 European Journal of Operational Research 1 Monte Carlo Methods and Applications 1 IMA Journal of Management Mathematics 1 North American Actuarial Journal 1 Risk and Decision Analysis 1 The Journal of Computational Finance all top 5 Fields 20 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Probability theory and stochastic processes (60-XX) 7 Numerical analysis (65-XX) 2 Partial differential equations (35-XX) 2 Computer science (68-XX) 2 Operations research, mathematical programming (90-XX) 1 Number theory (11-XX) 1 Approximations and expansions (41-XX) 1 Integral equations (45-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Mechanics of deformable solids (74-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 18 Publications have been cited 89 times in 74 Documents Cited by ▼ Year ▼ Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425Bally, Vlad; Caramellino, Lucia; Zanette, Antonino 17 2005 Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino 9 2019 Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino 9 2020 Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 1371.91089Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino 8 2016 The singular points binomial method for pricing American path-dependent options. Zbl 1284.91571Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, Maria Antonietta 8 2010 Parabolic ADI methods for pricing American options on two stocks. Zbl 1082.60515Villeneuve, Stephane; Zanette, Antonino 7 2002 Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model. Zbl 1231.91167Costabile, Massimo; Gaudenzi, Marcellino; Massabò, Ivar; Zanette, Antonino 7 2009 New insights on testing the efficiency of methods of pricing and hedging American options. Zbl 1137.91469Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino; Ziani, Laura 5 2008 Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153Gaudenzi, Marcellino; Zanette, Antonino 4 2009 A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model. Zbl 1433.91167Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino 3 2015 Efficient pricing of swing options in Lévy-driven models. Zbl 1281.91167Kudryavtsev, Oleg; Zanette, Antonino 3 2013 Numerical stability of a hybrid method for pricing options. Zbl 1430.91129Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino 2 2019 Adaptive finite element methods for local volatility European option pricing. Zbl 1101.91035Ern, Alexandre; Villeneuve, Stéphane; Zanette, Antonino 2 2004 A moments and strike matching binomial algorithm for pricing American put options. Zbl 1143.91019Jourdain, Benjamin; Zanette, Antonino 1 2008 Monte Carlo methods for pricing and hedging American options in high dimension. Zbl 1409.91273Caramellino, Lucia; Zanette, Antonino 1 2011 Enriching the finite element method with meshfree particles in structural mechanics. Zbl 1365.74156Zanette, A.; Ferronato, Massimiliano; Janna, C. 1 2017 Pricing cliquet options by tree methods. Zbl 1214.91133Gaudenzi, Marcellino; Zanette, Antonino 1 2011 The binomial interpolated lattice method for step double barrier options. Zbl 1298.91153Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino 1 2014 Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino 9 2020 Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 07024664Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino 9 2019 Numerical stability of a hybrid method for pricing options. Zbl 1430.91129Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino 2 2019 Enriching the finite element method with meshfree particles in structural mechanics. Zbl 1365.74156Zanette, A.; Ferronato, Massimiliano; Janna, C. 1 2017 Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models. Zbl 1371.91089Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino 8 2016 A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model. Zbl 1433.91167Appolloni, Elisa; Caramellino, Lucia; Zanette, Antonino 3 2015 The binomial interpolated lattice method for step double barrier options. Zbl 1298.91153Appolloni, Elisa; Gaudenzi, Marcellino; Zanette, Antonino 1 2014 Efficient pricing of swing options in Lévy-driven models. Zbl 1281.91167Kudryavtsev, Oleg; Zanette, Antonino 3 2013 Monte Carlo methods for pricing and hedging American options in high dimension. Zbl 1409.91273Caramellino, Lucia; Zanette, Antonino 1 2011 Pricing cliquet options by tree methods. Zbl 1214.91133Gaudenzi, Marcellino; Zanette, Antonino 1 2011 The singular points binomial method for pricing American path-dependent options. Zbl 1284.91571Gaudenzi, Marcellino; Zanette, Antonino; Lepellere, Maria Antonietta 8 2010 Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model. Zbl 1231.91167Costabile, Massimo; Gaudenzi, Marcellino; Massabò, Ivar; Zanette, Antonino 7 2009 Pricing American barrier options with discrete dividends by binomial trees. Zbl 1176.91153Gaudenzi, Marcellino; Zanette, Antonino 4 2009 New insights on testing the efficiency of methods of pricing and hedging American options. Zbl 1137.91469Pressacco, Flavio; Gaudenzi, Marcellino; Zanette, Antonino; Ziani, Laura 5 2008 A moments and strike matching binomial algorithm for pricing American put options. Zbl 1143.91019Jourdain, Benjamin; Zanette, Antonino 1 2008 Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Zbl 1137.91425Bally, Vlad; Caramellino, Lucia; Zanette, Antonino 17 2005 Adaptive finite element methods for local volatility European option pricing. Zbl 1101.91035Ern, Alexandre; Villeneuve, Stéphane; Zanette, Antonino 2 2004 Parabolic ADI methods for pricing American options on two stocks. Zbl 1082.60515Villeneuve, Stephane; Zanette, Antonino 7 2002 all cited Publications top 5 cited Publications all top 5 Cited by 133 Authors 13 Zanette, Antonino 7 Gaudenzi, Marcellino 5 Molent, Andrea 4 Goudenège, Ludovic 4 Jentzen, Arnulf 4 Kharrat, Mohamed 3 Bally, Vlad 3 Becker, Sebastian 3 Caramellino, Lucia 3 Costabile, Massimo 3 Massabó, Ivar 3 Pagès, Gilles 3 Russo, Emilio 2 Briani, Maya 2 Cheridito, Patrick 2 Khedher, Asma 2 Kudryavtsev, Oleg 2 Moenig, Thorsten 2 Printems, Jacques 2 Terenzi, Giulia 2 Vanmaele, Michèle 2 Wei, Xiao 1 Ali, Montaz M. 1 Alonso-García, Jennifer 1 Andalaft-Chacur, A. 1 Appolloni, Elisa 1 Auster, Johan 1 Barty, Kengy 1 Bauer, Daniel J. 1 Bayer, Christian 1 Beck, Christian 1 Berton, Julien 1 Braunwarth, Ramon 1 Bronstein, Anne Laure 1 Bufalo, Michele 1 Chevalier, Etienne 1 Chiu, Chun-Yuan 1 Chockalingam, Arunachalam 1 Choi, Yongho 1 Crisan, Dan O. 1 Dai, Tian-Shyr 1 Daveloose, Catherine 1 De Angelis, Paolo 1 De Rossi, Giulia 1 Deng, Shijie 1 Egloff, Daniel 1 Elbrächter, Dennis 1 Eymard, Robert 1 Fakoor, Vahid 1 Fedyaev, Igor’ Pavlovich 1 Feng, Haolin 1 Friz, Peter Karl 1 Fujiwara, Hajime 1 Gan, Guojun 1 Gao, Jin 1 García Mirantes, Andrés 1 Gassiat, Paul 1 Girardeau, Pierre 1 Gobet, Emmanuel 1 Grohs, Philipp 1 Haentjens, Tinne 1 Hsu, William Wei-Yuan 1 Hu, Ruimeng 1 Hutzenthaler, Martin 1 Hwang, Hyeongseok 1 Ikonen, Samuli 1 in ’t Hout, Karel J. 1 Jeong, Darae 1 Jerbi, Yacin 1 Jourdain, Benjamin 1 Kashtanov, Yuri N. 1 Kashtanov, Yuriĭ Nikolaevich 1 Kijima, Masaaki 1 Kim, Hongjoong 1 Kim, Junseok 1 Kolkiewicz, Adam W. 1 Korn, Ralf 1 Kudryavtsev, O. E. 1 La Bua, Gaetano 1 Lars Kirkby, J. 1 Lee, Dongsun 1 Leippold, Markus 1 Li, Minqiang 1 Li, Yanxiong 1 Lin, Fangyuan Sally 1 Lyuu, Yuh-Dauh 1 Maeder, Fabio 1 Manolarakis, Konstantinos 1 Marazzina, Daniele 1 Martire, Antonio Luciano 1 Mathys, Ludovic 1 Moon, Kyoung-Sook 1 Muroi, Yoshifumi 1 Neufeld, Ariel David 1 Nielsen, Jørgen Aase 1 Orlando, Giuseppe 1 Pigato, Paolo 1 Población, Javier 1 Portès, Jacques 1 Privault, Nicolas ...and 33 more Authors all top 5 Cited in 39 Serials 8 Quantitative Finance 5 Computational Management Science 4 Journal of Computational and Applied Mathematics 4 Insurance Mathematics & Economics 4 International Journal of Theoretical and Applied Finance 4 Decisions in Economics and Finance 3 Monte Carlo Methods and Applications 3 North American Actuarial Journal 3 SIAM Journal on Financial Mathematics 2 Journal of Economic Dynamics & Control 2 Applied Mathematical Finance 2 Mathematical Finance 2 Scandinavian Actuarial Journal 2 ASTIN Bulletin 1 Computers & Mathematics with Applications 1 Theory of Probability and its Applications 1 Applied Mathematics and Computation 1 Revista de la Unión Matemática Argentina 1 SIAM Journal on Numerical Analysis 1 Stochastic Analysis and Applications 1 Constructive Approximation 1 European Journal of Applied Mathematics 1 Communications in Statistics. Theory and Methods 1 European Journal of Operational Research 1 Journal of Statistical Computation and Simulation 1 Stochastic Processes and their Applications 1 Vestnik St. Petersburg University. Mathematics 1 SIAM Journal on Scientific Computing 1 Turkish Journal of Mathematics 1 Boletín de la Sociedad Matemática Mexicana. Third Series 1 Bernoulli 1 Discrete Dynamics in Nature and Society 1 Methodology and Computing in Applied Probability 1 Journal of Systems Science and Complexity 1 Review of Derivatives Research 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 Communications in Computational Physics 1 European Actuarial Journal 1 Palestine Journal of Mathematics all top 5 Cited in 17 Fields 62 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 39 Probability theory and stochastic processes (60-XX) 28 Numerical analysis (65-XX) 8 Statistics (62-XX) 6 Operations research, mathematical programming (90-XX) 5 Partial differential equations (35-XX) 4 Computer science (68-XX) 2 Approximations and expansions (41-XX) 2 Integral transforms, operational calculus (44-XX) 2 Systems theory; control (93-XX) 1 Number theory (11-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Citations by Year