MERCURI, LORENZO
MERCURI, LORENZO
Dipartimento di Economia, Management e Metodi Quantitativi
An efficient unified approach for spread option pricing in a copula market model
2023 E. Berton, L. Mercuri
Approximation of the variance gamma model with a finite mixture of normals
2012 A. Loregian, L. Mercuri, E. Rroji
COGARCH(p,q) : Simulation and Inference with yuima Package
2017 S.M. Iacus, L. Mercuri, E. Rroji
Discrete time approximation of a COGARCH(p,q) model and its estimation
2015 S.M. Iacus, L. Mercuri, E. Rroji
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
2018 S.M. Iacus, 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
Estimation of Lévy CARMA models in the yuima package: application on the financial time series
2014 S.M. Iacus, L. Mercuri
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
Hedge fund portfolio allocation with higher moments and MVG models
2013 A. Hitaj, L. Mercuri
Implementation of Lévy CARMA model in Yuima package
2015 S.M. Iacus, L. Mercuri
Implicit expectiles and measures of implied volatility
2018 F. Bellini, L. Mercuri, E. Rroji
Lévy CARMA models for shocks in mortality
2019 A. Hitaj, L. Mercuri, E. Rroji
Mixed tempered stable distribution
2015 E. Rroji, L. Mercuri
Noise inference for ergodic Lévy driven SDE
2022 H. Masuda, L. Mercuri, Y. Uehara
On multivariate extensions of the Mixed Tempered Stable distribution
2016 A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji
On Properties of the MixedTS Distribution and Its Multivariate Extension
2018 A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
2020 F. Bellini, L. Mercuri, E. Rroji
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
2018 G. Consigli, V. Moriggia, S. Vitali, L. Mercuri
Option pricing in a conditional bilateral gamma model
2014 F. Bellini, L. Mercuri