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Mostrati risultati da 1 a 20 di 33
Titolo Data di pubblicazione Autori Tipo File Abstract
Option pricing in a Garch model with tempered stable innovations 2008 L. Mercuri Article (author) -
Pricing Asian options in affine Garch models 2011 L. Mercuri Article (author) -
Option pricing in a dynamic variance gamma model 2011 L. Mercuri + Article (author) -
Approximation of the variance gamma model with a finite mixture of normals 2012 L. Mercuri + Article (author) -
Hedge fund portfolio allocation with higher moments and MVG models 2013 L. Mercuri + Book Part (author) -
Portfolio allocation using multivariate variance gamma models 2013 L. Mercuri + Article (author) -
Risk measurement using the mixed tempered stable distribution 2014 L. Mercuri + Book Part (author) -
Option pricing in a conditional bilateral gamma model 2014 L. Mercuri + Article (author) -
Estimation of Lévy CARMA models in the yuima package: application on the financial time series 2014 S. M. IacusL. Mercuri Book Part (author) -
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project 2015 S.M. IacusL. Mercuri + Article (author) -
Mixed tempered stable distribution 2015 L. Mercuri + Article (author) -
Portfolio selection with independent component analysis 2015 L. Mercuri + Article (author) -
Discrete time approximation of a COGARCH(p,q) model and its estimation 2015 S.M. IacusL. Mercuri + Article (author) -
Implementation of Lévy CARMA model in Yuima package 2015 S.M. IacusL. Mercuri Article (author) -
On multivariate extensions of the Mixed Tempered Stable distribution 2016 L. Mercuri + Book Part (author) -
COGARCH(p,q) : Simulation and Inference with yuima Package 2017 S.M. IacusL. Mercuri + Article (author) -
VIX computation based on affine stochastic volatility models in discrete time 2018 L. Mercuri + Book Part (author) -
Option pricing in an exponential MixedTS Lévy process 2018 L. Mercuri + Article (author) -
Risk parity for mixed tempered stable distributed sources of risk 2018 L. Mercuri + Article (author) -
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization 2018 Mercuri, Lorenzo + Article (author) -
Mostrati risultati da 1 a 20 di 33
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