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- Stefano Baccarin, Simona Sanfelici
- Comput. Manag. Science
- 2006

In this paper we consider the optimal impulse control of a system which evolves randomly in accordance with a homogeneous diffusion process in R 1 . Whenever the system is controlled a cost is incurred which has a fixed component and a component which increases with the magnitude of the control applied. In addition to these controlling costs there are… (More)

- Simona Sanfelici
- 2004

We consider a general system of n1 semilinear parabolic partial differential equations and n2 ordinary differential equations, with locally Lipschitz continuous nonlinearities. We analyse the well-posedness of this problem, exploiting the tools of the semigroups theory, and derive other further regularity results and conditions for the boundedness of the… (More)

- Chiara Guardasoni, Simona Sanfelici
- Int. J. Comput. Math.
- 2016

In this work, we analyse the Galerkin Infinite Element method for option pricing. The Infinite Element method is a very simple and efficient modification of the more common Finite Element method. It keeps the best features of Finite Elements, i.e. bandedness, easiness of programming, accuracy, and it is particularly useful when solving problems in unbounded… (More)

- Imma Curato, Simona Sanfelici
- 2014

We consider a general stochastic volatility model driven by continuous Brownian semimartingales and we define a non-parametric estimator of the stochastic leverage process defined by means of the covariance between the price and the volatility process. Our estimation procedure is based only on a pre-estimation of the Fourier coefficients of the volatility… (More)

Default probability is a fundamental variable determining the credit worthiness of a firm and equity volatility estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure… (More)

- Simona Sanfelici
- 2002

The aim of this work is twofold. First we focus on the complex phenomenon of electrogram fractionation, due to the presence of discontinuities in the conduction properties of the cardiac tissue in a bidomain model. Numerical simulations of paced activation may help to understand the role of the membrane ionic currents and of the changes in cellular coupling… (More)

- Chiara Guardasoni, Simona Sanfelici
- SIAM Journal of Applied Mathematics
- 2016

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