Publications
Preprints, working papers
 L. Caramellino, C. Mendico: FokkerPlanck equations on homogeneous Lie groups and probabilistic counterparts.
ArXiv:2402.11524, 2024.
Published papers
 L. Caramellino, G. Giorgio, M. Rossi: Convergence in Total Variation for nonlinear functionals of
random hyperspherical harmonics. Journal of Functional Analysis, 286, 2024; arXiv:2206.02605
 V. Bally, L. Caramellino, A. KohatsuHiga: Upper bounds for the derivatives of the density
associated to solutions of stochastic differential
equations with jumps. Journal of Mathematical Analysis and Applications, 531, 2024.
 V. Bally, L. Caramellino, A. KohatsuHiga: Using
moment approximations to study the density of jump driven SDEs. Electronic Journal of Probability, 27, 121, 2022.
 V. Bally, L. Caramellino: Transfer of regularity for Markov semigroups by using an interpolation technique.
Journal of Stochastic Analysis, 2, no. 3, Article 13, 2021.
 M. Briani, L. Caramellino, G. Terenzi:
Convergence rate of Markov chains and hybrid numerical schemes to jumpdiffusions with
application to the Bates model. SIAM Journal on Numerical Analysis, 59, no. 1, 477502, 2021.
ArXiv:1809.10545.
 V. Bally, L. Caramellino, G. Poly: Regularization
lemmas and convergence in total variation.
Electronic Journal of Probability, 25, no. 74, 2020.
 P. Baldi, L. Caramellino, M. Rossi: Large deviations of conditioned diffusions and applications.
Stochastic Processes and their Applications, 130, 12891308, 2020.
 M. Briani, L. Caramellino, G. Terenzi, A. Zanette:
Numerical stability of a hybrid method for pricing options. International Journal of Theoretical and Applied Finance, 22, 46 pages, 2019.
ArXiv:1603.07225 (with another title).
 V. Bally, L. Caramellino: Total variation distance between stochastic polynomials
and invariance principles. Annals of Probability, 47, 37623811, 2019.
ArXiv:1705.05194
 V. Bally, L. Caramellino, P. Pigato:
Tube estimates for diffusions under a local strong Hörmander condition.
Annales de l'Institut Henri Poincaré (B) Probability and Statistics, 55, 23202369, 2019.
ArXiv:1607.04542 + ArXiv:1607.04544
 V. Bally, L. Caramellino, G. Poly: Non universality for the variance of the number of real roots
of random trigonometric polynomials. Probability Theory and Related Fields, 174, 887927, 2019. ArXiv:1711.03316.
 V. Bally, L. Caramellino, G. Poly: Convergence
in distribution norms in the CLT for
non identical distributed random variables. Electronic Journal of Probability, 23, no. 45, 2018.
ArXiv:1606.01629
 M. Briani, L. Caramellino, A. Zanette:
A hybrid tree/finitedifference approach for HestonHullWhite type models.
Journal of Computational Finance, 21, 145, 2017.
ArXiv:1503.03705
 M. Briani, L. Caramellino, A. Zanette:
A hybrid approach for the implementation of the Heston model.
IMA Journal of Management Mathematics, 28, 467500, 2017 (published online in November 2015).
ArXiv:1307.7178 (past version of the paper).
 V. Bally, L. Caramellino: Regularity of Wiener functionals under
a Hörmander type condition of order one.
Annals of Probability, 45, 14881511, 2017.
ArXiv:1307.3942
 V. Bally, L. Caramellino: Convergence and regularity
of probability laws by using an interpolation method.
Annals of Probability, 45, 11101159, 2017.
ArXiv:1409.3118.
 V. Bally, L. Caramellino, R. Cont:
Stochastic integration by parts and functional Itô calculus.
Advanced Courses in Mathematics  CRM Barcelona, Birkhäuser, 2016.
 V. Bally, L. Caramellino: Asymptotic
development in the CLT in total variation distance. Bernoulli, 22, 24422485, 2016.
 E. Appolloni, L. Caramellino, A. Zanette:
A robust tree method for pricing American options with CIR stochastic interest rate.
IMA Journal of Management Mathematics, 26, 345375, 2015.
ArXiv:1305.0479.
 P. Baldi, L. Caramellino, M. Rossi: On sharp Large Deviations for the bridge of a general
diffusion. C. DonatiMartin et al. (eds.), In memoriam Marc Yor  Séminaire de Probabilités XLVII, Lecture Notes
in Mathematics 2317, 427442, 2015. ArXiv:1410.0863.
 L. Caramellino, B. Pacchiarotti, S. Salvadei:
Large deviation approaches for the numerical computation of the hitting probability for Gaussian
processes. Methodology and Computing in Applied Probability, 17, 383401, 2015.
Preprint version.
 V. Bally, L. Caramellino: On the distances between probability density
functions. Electronic Journal of Probability, 19, no. 110, 133, 2014.
 V. Bally, L. Caramellino: Positivity and lower bounds for the
density of Wiener functionals. Potential Analysis 39, 141168, 2013. ArXiv:1004.5269.

L. Caramellino, A. Zanette: Monte Carlo methods for pricing and
hedging American options in high dimension. Risk and Decision Analysis 2, 207220, 2011;
preprint version.

P. Baldi, L. Caramellino: General FreidlinWentzell large deviations and positive
diffusions.
Statistics and Probability Letters 81, 12181229, 2011;
preprint version

V. Bally, L. Caramellino: Riesz transform and integration by parts formulas
for random variables. Stochastic Processes and their Applications 121,
13321355, 2011. ArXiv:0911.2631

L. Caramellino, B. Pacchiarotti: Large deviations
estimates of the crossing probability for pinned Gaussian processes.
Advances in Applied Probability 40, 424453, 2008.

V. Bally, L. Caramellino, A. Zanette: A
mixed PDEMonte Carlo approach for pricing credit default index swaptions.
Decisions in Economics and Finance 29, pp. 121137, 2006.

V. Bally, L. Caramellino, A. Zanette: Pricing American
options by Monte Carlo methods using a Malliavin
Calculus approach. Monte Carlo Methods and Applications
11, pp. 97133, 2005.

L. Caramellino, B. Pacchiarotti: Weak approximation of a Brownian motion
killed on time dependent barriers. Monte Carlo Methods and
Applications 8, pp. 221237, 2002.

P. Baldi, L. Caramellino: Asymptotics of hitting probabilities for general
onedimensional diffusions. Annals of Applied Probability
12, pp. 10711095, 2002.

L. Caramellino, M.G. Iovino: An exitprobabilitybased approach for the
valuation of defaultable securities. Journal of
Computational Finance 6, pp. 124, 2002.

L. Caramellino, V. Di Vincenzo:
A law of the Iterated Logarithm for random walks
on nilpotent Lie groups. Bernoulli 7, pp. 605628, 2001.

P. Baldi, L. Caramellino, M.G. Iovino: Pricing general barrier
options: a numerical approach using Sharp Large Deviations.
Mathematical Finance 9, pp. 293322, 1999.

P. Baldi, L. Caramellino, M.G. Iovino:
Pricing complex barrier options with general features using
sharp large deviation estimates. Monte Carlo and
QuasiMonte Carlo Methods 1998, H. NiederreiterJ. Spanier
(Eds.), Springer, 149162, 1999.

P. Baldi, L. Caramellino: Large and moderate deviations for random
walks on nilpotent Lie groups. Journal of Theoretical Probability
12, pp. 779809, 1999.

L. Caramellino, A. ClimescuHaulica, B. Pacchiarotti:
Diffusion approximations for random walks on nilpotent Lie groups.
Statistics and Probability Letters 41, pp. 363377, 1999.

L. Caramellino: Strassen's law of the iterated logarithm for diffusion
processes for small time. Stochastic Processes and their Applications
74, pp. 119, 1998.

M. Abundo, P. Baldi, L. Caramellino: A
diffusion approximation which models hierarchic interactions in
cooperative biological systems. Open Systems & Information Dynamics
5, pp. 123, 1998.

L. Caramellino, F. Spizzichino: WBF property and stochastical
monotonicity of the Markov process associated to Schurconstant survival
functions. Journal of Multivariate Analysis 56, pp. 153163, 1996.

M. Abundo, L. Caramellino: Some remarks about a Markov chain which models
cooperative biological systems. Open Systems & Information
Dynamics 3, pp. 325343, 1995.

L. Caramellino, F. Spizzichino: Dependence and ageing properties of
lifetimes with Schurconstant survival function. Probability
in the Engeneering and Informational Sciences 8, pp. 103111, 1994.