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Nicola Bruti-Liberati

Personal Details

This person is deceased (Date: 28 Aug 2007)
First Name:Nicola
Middle Name:
Last Name:Bruti-Liberati
Suffix:
RePEc Short-ID:pbr185
http://www.business.uts.edu.au/finance/staff/nicola.html
Terminal Degree:2007 Finance Discipline Group; Business School; University of Technology Sydney (from RePEc Genealogy)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney.
  9. Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.

Articles

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
  2. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009. "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
  3. Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008. "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 45-56.
  4. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
  5. Bruti-Liberati Nicola & Nikitopoulos-Sklibosios Christina & Platen Eckhard, 2006. "First Order Strong Approximations of Jump Diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 12(3), pages 191-209, October.

Books

  1. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Eckhard Platen & Renata Rendek, 2009. "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series 259, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Eckhard Platen & Renata Rendek, 2009. "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series 258, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23.

  2. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009. "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(1), pages 1-31, March.
    2. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2.

  3. Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Mao, Wei & Hu, Liangjian & Mao, Xuerong, 2015. "The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps," Applied Mathematics and Computation, Elsevier, vol. 268(C), pages 883-896.
    2. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
    3. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.

  4. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.

  5. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Pellegrini, Clément, 2010. "Existence, uniqueness and approximation of the jump-type stochastic Schrodinger equation for two-level systems," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1722-1747, August.
    4. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
    5. Szimayer, Alex & Maller, Ross A., 2007. "Finite approximation schemes for Lévy processes, and their application to optimal stopping problems," Stochastic Processes and their Applications, Elsevier, vol. 117(10), pages 1422-1447, October.
    6. Yuan Xia, 2011. "Multilevel Monte Carlo method for jump-diffusion SDEs," Papers 1106.4730, arXiv.org.

  6. Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Tisan, A. & Cirstea, M., 2013. "SOM neural network design – A new Simulink library based approach targeting FPGA implementation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 91(C), pages 134-149.
    2. Sergio Chavez & Eckhard Platen, 2008. "Distributional Deviations in Random Number Generation in Finance," Research Paper Series 228, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.

  7. Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.
    3. Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.

Articles

  1. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.

    Cited by:

    1. Eckhard Platen & Stefan Tappe, 2011. "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series 289, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Ke Du & Eckhard Platen, 2011. "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series 296, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Claudio Fontana & Wolfgang J. Runggaldier, 2012. "Diffusion-based models for financial markets without martingale measures," Papers 1209.4449, arXiv.org, revised Feb 2013.
    4. Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Papers 0901.2080, arXiv.org, revised Mar 2010.
    5. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2.
    6. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.

  2. Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008. "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 45-56.
    See citations under working paper version above.
  3. Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 283-312, May.
    See citations under working paper version above.
  4. Bruti-Liberati Nicola & Nikitopoulos-Sklibosios Christina & Platen Eckhard, 2006. "First Order Strong Approximations of Jump Diffusions," Monte Carlo Methods and Applications, De Gruyter, vol. 12(3), pages 191-209, October.

    Cited by:

    1. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 365-399.
    2. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.

Books

  1. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.

    Cited by:

    1. Denis Belomestny & Tigran Nagapetyan, 2014. "Multilevel path simulation for weak approximation schemes," Papers 1406.2581, arXiv.org, revised Oct 2014.
    2. Burch Nathanial & Lehoucq R. B., 2015. "Computing the exit-time for a finite-range symmetric jump process," Monte Carlo Methods and Applications, De Gruyter, vol. 21(2), pages 139-152, June.
    3. Jan Baldeaux & Eckhard Platen, 2015. "Credit Derivative Evaluation and CVA Under the Benchmark Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 305-331, September.
    4. David Heath & Eckhard Platen, 2014. "A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model," Research Paper Series 350, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Jan Baldeaux & Eckhard Platen, 2013. "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series 325, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. Michael B. Giles & Christoph Reisinger, 2012. "Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance," Papers 1204.1442, arXiv.org.
    7. Eckhard Platen & Renata Rendek, 2009. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 264, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Mikulevicius, Remigijus & Zhang, Changyong, 2011. "On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 121(8), pages 1720-1748, August.
    9. John Schoenmakers & Junbo Huang & Jianing Zhang, 2011. "Optimal dual martingales, their analysis and application to new algorithms for Bermudan products," Papers 1111.6038, arXiv.org, revised Feb 2012.
    10. Mikulevicius, R., 2012. "On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 122(7), pages 2730-2757.
    11. Mike Giles & Lukasz Szpruch, 2012. "Multilevel Monte Carlo methods for applications in finance," Papers 1212.1377, arXiv.org.
    12. Guillermo Andrés Cangrejo Jiménez, 2014. "La Estructura a Plazos del Riesgo Interbancario," DOCUMENTOS DE TRABAJO 012172, UNIVERSIDAD DEL ROSARIO.
    13. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23.
    14. esposito, francesco paolo & cummins, mark, 2015. "Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models," MPRA Paper 64987, University Library of Munich, Germany.
    15. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2.
    16. Sergii Kuchuk-Iatsenko & Yuliya Mishura, 2016. "Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation," Papers 1601.01128, arXiv.org.
    17. Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015. "A Hybrid Model for Pricing and Hedging of Long-dated Bonds," Applied Mathematical Finance, Taylor & Francis Journals, vol. 22(4), pages 366-398, September.
    18. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
    19. Mascagni Michael & Qiu Yue & Hin Lin-Yee, 2014. "High performance computing in quantitative finance: A review from the pseudo-random number generator perspective," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 101-120, June.
    20. Fernández Lexuri & Hieber Peter & Scherer Matthias, 2013. "Double-barrier first-passage times of jump-diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 107-141, July.
    21. Eckhard Platen & Renata Rendek, 2012. "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series 322, Quantitative Finance Research Centre, University of Technology, Sydney.
    22. Yuan Xia, 2011. "Multilevel Monte Carlo method for jump-diffusion SDEs," Papers 1106.4730, arXiv.org.
    23. Rob Aalbers & Marjon Ruijter & Kees Oosterlee (CWI), 2014. "The social discount rate under a stochastic A2 scenario," CPB Discussion Paper 296, CPB Netherlands Bureau for Economic Policy Analysis.
    24. Andrew Papanicolaou, 2014. "Stochastic Analysis Seminar on Filtering Theory," Papers 1406.1936, arXiv.org, revised Oct 2016.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (6) 2004-06-02 2005-05-07 2005-05-07 2005-10-29 2006-06-03 2006-08-12. Author is listed
  2. NEP-CMP: Computational Economics (4) 2004-06-02 2005-05-07 2008-07-20 2009-03-14
  3. NEP-ETS: Econometric Time Series (2) 2005-05-07 2005-05-07
  4. NEP-ECM: Econometrics (1) 2005-05-07
  5. NEP-FMK: Financial Markets (1) 2006-08-12
  6. NEP-ORE: Operations Research (1) 2008-07-20

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