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Wilfrid Laurier University Lazaridis School of Business & Economics
December 6, 2016
Canadian Excellence

G. (Joe) Campolieti


email: G. (Joe) Campolieti
phone: 519.884.0710
ext: 2067


Recent Publications



  • Bridge Copula Method for Option Pricing under Solvable Diffusion Models
    Submitted to Journal of Computational Finance, September 2007
    G. Campolieti, R. Makarov
  • On Properties of Analytically Solvable Families of Local Volatility Diffusion Models
    Submitted to Mathematical Finance
    G. Campolieti, R. Makarov
  • 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
  • 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
  • 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
  • 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