Books

• Advanced Derivatives Pricing and Risk Management: Theory, Tools, and Hands-On Programming Applications,
  C. Albanese and G. Campolieti,
  Academic Press, Elsevier Science, USA, 2005.

Papers

• Bridge Copula Method for Option Pricing under Solvable Diffusion Models
  Submitted to Journal of Computational Finance, September 2007
  G. Campolieti, R. Makarov
  PDF
• On Properties of Analytically Solvable Families of Local Volatility Diffusion Models
  Submitted to Mathematical Finance
  G. Campolieti, R. Makarov
  PDF
• Path Integral Pricing of Asian Options on State Dependent Volatility Models (revised version)
  Quantitative Finance, Vol. 8, No. 2, March 2008, 147-161
  G. Campolieti, R. Makarov
  PDF
• Pricing Path-Dependent Options on State Dependent Volatility Models with a Bessel Bridge (revised version)
  International Journal of Theoretical and Applied Finance, Vol. 10, No.1 (2007) 51-88
  G. Campolieti, R. Makarov
  PDF
• Parallel Lattice Implementation for Option Pricing under Mixed State-Dependent Volatility Models
  The Proceedings of the 19th Annual Symposium on High Performance Computing Systems and Applications (HPCS 2005), IEEE, 170-176
  G. Campolieti, R. Makarov
  PDF
• Credit Barrier Models
  Risk Magazine, June 2003
  C. Albanese, G. Campolieti, O. Chen, A. Zavidonov
• Black-Scholes Goes Hypergeometric
  Risk Magazine, December 2001
  C. Albanese, G. Campolieti, P. Carr, A. Lipton

Working papers

• Classification of Probabilistic Properties of Nonlinear Diffusions via Classical Differential Equation Methods
  G. Campolieti, R. Makarov
• Analytical Formulas for First-Passage Time Densities: Pricing Lookback and Barrier Options under New Families of Diffusions