Publications
Preprints, working papers
- A. Alfonsi, L. Caramellino, V. Bally: Stochastic sewing lemma on Wasserstein space.
ArXiv:2410.17096, 2024.
Published papers
- L. Caramellino, C. Mendico: Fokker-Planck equations on homogeneous Lie groups and probabilistic counterparts. SIAM J. Math. Anal. 2025+;
arXiv:2402.11524.
- 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. Kohatsu-Higa: 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. Kohatsu-Higa: Using
moment approximations to study the density of jump driven SDEs. Electronic Journal of Probability, 27, 1-21, 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 jump-diffusions with
application to the Bates model. SIAM Journal on Numerical Analysis, 59, no. 1, 477-502, 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, 1289-1308, 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, 3762-3811, 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, 2320-2369, 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, 887-927, 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/finite-difference approach for Heston-Hull-White type models.
Journal of Computational Finance, 21, 1-45, 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, 467-500, 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, 1488-1511, 2017.
ArXiv:1307.3942
- V. Bally, L. Caramellino: Convergence and regularity
of probability laws by using an interpolation method.
Annals of Probability, 45, 1110-1159, 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, 2442-2485, 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, 345-375, 2015.
ArXiv:1305.0479.
- P. Baldi, L. Caramellino, M. Rossi: On sharp Large Deviations for the bridge of a general
diffusion. C. Donati-Martin et al. (eds.), In memoriam Marc Yor - Séminaire de Probabilités XLVII, Lecture Notes
in Mathematics 2317, 427-442, 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, 383-401, 2015.
Preprint version.
- V. Bally, L. Caramellino: On the distances between probability density
functions. Electronic Journal of Probability, 19, no. 110, 1-33, 2014.
- V. Bally, L. Caramellino: Positivity and lower bounds for the
density of Wiener functionals. Potential Analysis 39, 141-168, 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, 207-220, 2011;
preprint version.
-
P. Baldi, L. Caramellino: General Freidlin-Wentzell large deviations and positive
diffusions.
Statistics and Probability Letters 81, 1218-1229, 2011;
preprint version
-
V. Bally, L. Caramellino: Riesz transform and integration by parts formulas
for random variables. Stochastic Processes and their Applications 121,
1332-1355, 2011. ArXiv:0911.2631
-
L. Caramellino, B. Pacchiarotti: Large deviations
estimates of the crossing probability for pinned Gaussian processes.
Advances in Applied Probability 40, 424-453, 2008.
-
V. Bally, L. Caramellino, A. Zanette: A
mixed PDE-Monte Carlo approach for pricing credit default index swaptions.
Decisions in Economics and Finance 29, pp. 121-137, 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. 97-133, 2005.
-
L. Caramellino, B. Pacchiarotti: Weak approximation of a Brownian motion
killed on time dependent barriers. Monte Carlo Methods and
Applications 8, pp. 221-237, 2002.
-
P. Baldi, L. Caramellino: Asymptotics of hitting probabilities for general
one-dimensional diffusions. Annals of Applied Probability
12, pp. 1071-1095, 2002.
-
L. Caramellino, M.G. Iovino: An exit-probability-based approach for the
valuation of defaultable securities. Journal of
Computational Finance 6, pp. 1-24, 2002.
-
L. Caramellino, V. Di Vincenzo:
A law of the Iterated Logarithm for random walks
on nilpotent Lie groups. Bernoulli 7, pp. 605-628, 2001.
-
P. Baldi, L. Caramellino, M.G. Iovino: Pricing general barrier
options: a numerical approach using Sharp Large Deviations.
Mathematical Finance 9, pp. 293-322, 1999.
-
P. Baldi, L. Caramellino, M.G. Iovino:
Pricing complex barrier options with general features using
sharp large deviation estimates. Monte Carlo and
Quasi-Monte Carlo Methods 1998, H. Niederreiter-J. Spanier
(Eds.), Springer, 149-162, 1999.
-
P. Baldi, L. Caramellino: Large and moderate deviations for random
walks on nilpotent Lie groups. Journal of Theoretical Probability
12, pp. 779-809, 1999.
-
L. Caramellino, A. Climescu-Haulica, B. Pacchiarotti:
Diffusion approximations for random walks on nilpotent Lie groups.
Statistics and Probability Letters 41, pp. 363-377, 1999.
-
L. Caramellino: Strassen's law of the iterated logarithm for diffusion
processes for small time. Stochastic Processes and their Applications
74, pp. 1-19, 1998.
-
M. Abundo, P. Baldi, L. Caramellino: A
diffusion approximation which models hierarchic interactions in
cooperative biological systems. Open Systems & Information Dynamics
5, pp. 1-23, 1998.
-
L. Caramellino, F. Spizzichino: WBF property and stochastical
monotonicity of the Markov process associated to Schur-constant survival
functions. Journal of Multivariate Analysis 56, pp. 153-163, 1996.
-
M. Abundo, L. Caramellino: Some remarks about a Markov chain which models
cooperative biological systems. Open Systems & Information
Dynamics 3, pp. 325-343, 1995.
-
L. Caramellino, F. Spizzichino: Dependence and ageing properties of
lifetimes with Schur-constant survival function. Probability
in the Engeneering and Informational Sciences 8, pp. 103-111, 1994.