Sfoglia per Autore
Option pricing in a Garch model with tempered stable innovations
2008 L. Mercuri
Pricing Asian options in affine Garch models
2011 L. Mercuri
Option pricing in a dynamic variance gamma model
2011 L. Mercuri, F. Bellini
Approximation of the variance gamma model with a finite mixture of normals
2012 A. Loregian, L. Mercuri, E. Rroji
Hedge fund portfolio allocation with higher moments and MVG models
2013 A. Hitaj, L. Mercuri
Portfolio allocation using multivariate variance gamma models
2013 A. Hitaj, L. Mercuri
Risk measurement using the mixed tempered stable distribution
2014 L. Mercuri, E. Rroji
Option pricing in a conditional bilateral gamma model
2014 F. Bellini, L. Mercuri
Estimation of Lévy CARMA models in the yuima package: application on the financial time series
2014 S.M. Iacus, L. Mercuri
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
2015 S.M. Iacus, L. Mercuri, E. Rroji
Mixed tempered stable distribution
2015 E. Rroji, L. Mercuri
Portfolio selection with independent component analysis
2015 A. Hitaj, L. Mercuri, E. Rroji
Discrete time approximation of a COGARCH(p,q) model and its estimation
2015 S.M. Iacus, L. Mercuri, E. Rroji
Implementation of Lévy CARMA model in Yuima package
2015 S.M. Iacus, L. Mercuri
On multivariate extensions of the Mixed Tempered Stable distribution
2016 A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji
COGARCH(p,q) : Simulation and Inference with yuima Package
2017 S.M. Iacus, L. Mercuri, E. Rroji
VIX computation based on affine stochastic volatility models in discrete time
2018 A. Hitaj, L. Mercuri, R. Edit
Option pricing in an exponential MixedTS Lévy process
2018 L. Mercuri, E. Rroji
Risk parity for mixed tempered stable distributed sources of risk
2018 L. Mercuri, E. Rroji
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
2018 A. Hitaj, L. Mercuri, E. Rroji
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