Maya Briani
Maya Briani
Istituto per le Applicazioni del Calcolo, Consiglio Nazionale delle Ricerche (Italy)
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Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
M Briani, CL Chioma, R Natalini
Numerische Mathematik 98, 607-646, 2004
Implicit–explicit numerical schemes for jump–diffusion processes
M Briani, R Natalini, G Russo
Calcolo 44, 33-57, 2007
On the dynamics of capital accumulation across space
C Camacho, B Zou, M Briani
European Journal of Operational Research 186 (2), 451-465, 2008
Asymptotic High-Order Schemes for Dissipative Hyperbolic Systems
D Aregba-Driollet, M Briani, R Natalini
SIAM Journal on Numerical Analysis 46 (2), 869-894, 2008
A hybrid approach for the implementation of the Heston model
M Briani, L Caramellino, A Zanette
IMA Journal of Management Mathematics 28 (4), 467-500, 2017
Scenario-generation methods for an optimal public debt strategy
M Bernaschi, M Briani, M Papi, D Vergni
Quantitative Finance 7 (2), 217-229, 2007
Understanding human mobility flows from aggregated mobile phone data
C Balzotti, A Bragagnini, M Briani, E Cristiani
IFAC-PapersOnLine 51 (9), 25-30, 2018
A model of ischemia-induced neuroblast activation in the adult subventricular zone
D Vergni, F Castiglione, M Briani, S Middei, E Alberdi, KG Reymann, ...
PLoS One 4 (4), e5278, 2009
A hybrid tree/finite-difference approach for Heston-Hull-White type models
M Briani, L Caramellino, A Zanette
arXiv preprint arXiv:1503.03705, 2015
Numerical methods for option pricing in jump-diffusion markets
M Briani
PhD thesis, PhD thesis, Universita degli Studi di Roma La Sapienza, 2003
An easy-to-use algorithm for simulating traffic flow on networks: Theoretical study
M Briani, E Cristiani
arXiv preprint arXiv:1401.1651, 2014
Asymptotic high-order schemes for integro-differential problems arising in markets with jumps
M Briani, R Natalini
Communications in Mathematical Sciences 4 (1), 81-96, 2006
An easy-to-use algorithm for simulating traffic flow on networks: Numerical experiments
G Bretti, M Briani, E Cristiani
arXiv preprint arXiv:1310.8329, 2013
Notes on RKDG methods for shallow-water equations in canal networks
M Briani, B Piccoli, JM Qiu
Journal of Scientific Computing 68, 1101-1123, 2016
Time asymptotic high order schemes for dissipative BGK hyperbolic systems
D Aregba-Driollet, M Briani, R Natalini
Numerische Mathematik 132, 399-431, 2016
Sensitivity analysis of the LWR model for traffic forecast on large networks using Wasserstein distance
M Briani, E Cristiani, E Iacomini
arXiv preprint arXiv:1608.00126, 2016
Convergence rate of Markov chains and hybrid numerical schemes to jump-diffusion with application to the Bates model
M Briani, L Caramellino, G Terenzi
SIAM Journal on Numerical Analysis 59 (1), 477-502, 2021
On a hybrid method using trees and finite-differences for pricing options in complex models
M Briani, L Caramellino, G Terenzi, A Zanette
arXiv preprint arXiv:1603.07225, 2016
A model for the optimal asset-liability management for insurance companies
S Sbaraglia, M Papi, M Briani, M Bernaschi, F Gozzi
International Journal of Theoretical and Applied Finance 6 (03), 277-299, 2003
Finite differences schemes for integro-differential equations in financial mathematics
R Natalini, M Briani, CL Chioma
IAC-CNR and University, 2003
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