| Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise ME Mancino, S Sanfelici Computational Statistics & data analysis 52 (6), 2966-2989, 2008 | 118 | 2008 |
| Convergence of the Galerkin approximation of a degenerate evolution problem in electrocardiology S Sanfelici Numerical Methods for Partial Differential Equations: An International …, 2002 | 58 | 2002 |
| Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise ME Mancino, S Sanfelici Journal of financial econometrics 9 (2), 367-408, 2011 | 47 | 2011 |
| Fourier-Malliavin volatility estimation: Theory and practice ME Mancino, MC Recchioni, S Sanfelici Springer International Publishing, 2017 | 42 | 2017 |
| Practical Problems in the Numerical Solution of PDE's in Finance G Fusai, S Sanfelici, A Tagliani Rendiconti per gli Studi Economici Quantitativi, Università Ca’Foscari …, 2002 | 41 | 2002 |
| Estimation of quarticity with high-frequency data ME Mancino, S Sanfelici Quantitative finance 12 (4), 607-622, 2012 | 32 | 2012 |
| An Improved Two‐step Regularization Scheme for Spot Volatility Estimation S Ogawa, S Sanfelici Economic Notes 40 (3), 107-134, 2011 | 31 | 2011 |
| A Mellin transform approach to barrier option pricing C Guardasoni, MR Rodrigo, S Sanfelici IMA Journal of Management Mathematics 31 (1), 49-67, 2020 | 30 | 2020 |
| High-frequency volatility of volatility estimation free from spot volatility estimates S Sanfelici, IV Curato, ME Mancino Quantitative Finance 15 (8), 1331-1345, 2015 | 27 | 2015 |
| Fast numerical pricing of barrier options under stochastic volatility and jumps C Guardasoni, S Sanfelici SIAM Journal on Applied Mathematics 76 (1), 27-57, 2016 | 25 | 2016 |
| Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff S Sanfelici Decisions in Economics and Finance 27, 125-151, 2004 | 23 | 2004 |
| Measuring the leverage effect in a high frequency trading framework IV Curato, S Sanfelici Handbook of High Frequency Trading 42, 5-446, 2015 | 15 | 2015 |
| A boundary element approach to barrier option pricing in Black–Scholes framework C Guardasoni, S Sanfelici International Journal of Computer Mathematics 93 (4), 696-722, 2016 | 14 | 2016 |
| A fractional model for the COVID-19 pandemic: Application to Italian data E Alòs, ME Mancino, R Merino, S Sanfelici Stochastic Analysis and Applications 39 (5), 842-860, 2021 | 12 | 2021 |
| Identifying financial instability conditions using high frequency data ME Mancino, S Sanfelici Journal of Economic Interaction and Coordination 15 (1), 221-242, 2020 | 12 | 2020 |
| Optimal impulse control on an unbounded domain with nonlinear cost functions S Baccarin, S Sanfelici Computational Management Science 3, 81-100, 2006 | 11 | 2006 |
| Numerical Simulations of Fractionated Electrograms and Pathological Cardiac Action Potential S Sanfelici Journal of Theoretical Medicine 4 (3), 167-181, 2002 | 10 | 2002 |
| An application of nonparametric volatility estimators to option pricing RN Kenmoe, S Sanfelici Decisions in Economics and Finance 37, 393-412, 2014 | 8 | 2014 |
| Calibration of a nonlinear feedback option pricing model S Sanfelici Quantitative Finance 7 (1), 95-110, 2007 | 8 | 2007 |
| of a parabolic-ordinary system modelling cardiac activation under equal anisotropy conditions (**) S SAN FELICI Riv. Mat. Univ. Parma (5) 5, 143-157, 1996 | 8 | 1996 |
