MERCURI, LORENZO

MERCURI, LORENZO  

Dipartimento di Economia, Management e Metodi Quantitativi  

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Titolo Data di pubblicazione Autori Tipo File Abstract
A Hawkes model with CARMA(p,q) intensity 2024 Mercuri, Lorenzo + Article (author) -
An efficient unified approach for spread option pricing in a copula market model 2023 Mercuri, Lorenzo + Article (author) -
Noise inference for ergodic Lévy driven SDE 2022 Lorenzo Mercuri + Article (author) -
Financial Technical Indicator and Algorithmic Trading Strategy Based on Machine Learning and Alternative Data 2022 Lorenzo Mercuri + Article (author) -
Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion 2021 Mercuri, Lorenzo + Book Part (author) -
Finite Mixture Approximation of CARMA(p,q) Models 2021 Mercuri, Lorenzo + Article (author) -
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach 2021 Mercuri L. + Article (author) -
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences 2020 L. Mercuri + Article (author) -
Lévy CARMA models for shocks in mortality 2019 Mercuri L. + Article (author) -
Option pricing in an exponential MixedTS Lévy process 2018 L. Mercuri + Article (author) -
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation 2018 Iacus, Stefano M.Mercuri, Lorenzo + Article (author) -
VIX computation based on affine stochastic volatility models in discrete time 2018 L. Mercuri + Book Part (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) -
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming 2018 Mercuri, Lorenzo + Article (author) -
Implicit expectiles and measures of implied volatility 2018 Mercuri, Lorenzo + Article (author) -
On Properties of the MixedTS Distribution and Its Multivariate Extension 2018 Mercuri, Lorenzo + Article (author) -
COGARCH(p,q) : Simulation and Inference with yuima Package 2017 S.M. IacusL. Mercuri + Article (author) -
On multivariate extensions of the Mixed Tempered Stable distribution 2016 L. Mercuri + Book Part (author) -
Implementation of Lévy CARMA model in Yuima package 2015 S.M. IacusL. Mercuri Article (author) -