MERCURI, LORENZO
MERCURI, LORENZO
Dipartimento di Economia, Management e Metodi Quantitativi
A Hawkes model with CARMA(p,q) intensity
2024 L. Mercuri, A. Perchiazzo, E. Rroji
An efficient unified approach for spread option pricing in a copula market model
2023 E. Berton, L. Mercuri
Noise inference for ergodic Lévy driven SDE
2022 H. Masuda, L. Mercuri, Y. Uehara
Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data
2022 A. Frattini, I. Bianchini, A. Garzonio, L. Mercuri
Finite Mixture Approximation of CARMA(p,q) Models
2021 L. Mercuri, A. Perchiazzo, E. Rroji
Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion
2021 L. Mercuri, A. Perchiazzo, E. Rroji
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach
2021 F. Bianchi, L. Mercuri, E. Rroji
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
2020 F. Bellini, L. Mercuri, E. Rroji
Lévy CARMA models for shocks in mortality
2019 A. Hitaj, L. Mercuri, E. Rroji
Risk parity for mixed tempered stable distributed sources of risk
2018 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
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
2018 G. Consigli, V. Moriggia, S. Vitali, L. Mercuri
On Properties of the MixedTS Distribution and Its Multivariate Extension
2018 A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji
Implicit expectiles and measures of implied volatility
2018 F. Bellini, L. Mercuri, E. Rroji
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
2018 S.M. Iacus, L. Mercuri, E. Rroji
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
2018 A. Hitaj, L. Mercuri, E. Rroji
COGARCH(p,q) : Simulation and Inference with yuima Package
2017 S.M. Iacus, L. Mercuri, E. Rroji
On multivariate extensions of the Mixed Tempered Stable distribution
2016 A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
2015 S.M. Iacus, L. Mercuri, E. Rroji