MERCURI, LORENZO

MERCURI, LORENZO  

Dipartimento di Economia, Management e Metodi Quantitativi  

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Titolo Data di pubblicazione Autori Tipo File Abstract
Approximation of the variance gamma model with a finite mixture of normals 1-feb-2012 L. Mercuri + Article (author) -
COGARCH(p,q) : Simulation and Inference with yuima Package 28-ago-2017 S.M. IacusL. Mercuri + Article (author) -
Discrete time approximation of a COGARCH(p,q) model and its estimation 1-nov-2015 S.M. IacusL. Mercuri + Article (author) -
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation 1-set-2018 Iacus, Stefano M.Mercuri, Lorenzo + Article (author) -
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project 15-mag-2015 S.M. IacusL. Mercuri + Article (author) -
Estimation of Lévy CARMA models in the yuima package: application on the financial time series 1-ago-2014 S. M. IacusL. Mercuri Book Part (author) -
Finite Mixture Approximation of CARMA(p,q) Models 1-gen-2021 Mercuri, Lorenzo + Article (author) -
Hedge fund portfolio allocation with higher moments and MVG models 1-gen-2013 L. Mercuri + Book Part (author) -
Implementation of Lévy CARMA model in Yuima package 1-dic-2015 S.M. IacusL. Mercuri Article (author) -
Implicit expectiles and measures of implied volatility 2-nov-2018 Mercuri, Lorenzo + Article (author) -
Lévy CARMA models for shocks in mortality 1-giu-2019 Mercuri L. + Article (author) -
Mixed tempered stable distribution 2-set-2015 L. Mercuri + Article (author) -
Noise inference for ergodic Lévy driven SDE 1-apr-2022 Lorenzo Mercuri + Article (author) -
On multivariate extensions of the Mixed Tempered Stable distribution 1-gen-2016 L. Mercuri + Book Part (author) -
On Properties of the MixedTS Distribution and Its Multivariate Extension 1-dic-2018 Mercuri, Lorenzo + Article (author) -
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences 1-gen-2020 L. Mercuri + Article (author) -
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming 1-ott-2018 Mercuri, Lorenzo + Article (author) -
Option pricing in a conditional bilateral gamma model 1-giu-2014 L. Mercuri + Article (author) -
Option pricing in a dynamic variance gamma model 1-giu-2011 L. Mercuri + Article (author) -
Option pricing in a Garch model with tempered stable innovations 1-set-2008 L. Mercuri Article (author) -