Lorenzo Mercuri
Lorenzo Mercuri
Verifisert e-postadresse på unimi.it
Tittel
Sitert av
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År
Option pricing in a Garch model with tempered stable innovations
L Mercuri
Finance research letters 5 (3), 172-182, 2008
312008
Approximation of the variance gamma model with a finite mixture of normals
A Loregian, L Mercuri, E Rroji
Statistics & Probability Letters 82 (2), 217-224, 2012
232012
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri
Financial markets and portfolio management 27 (1), 65-99, 2013
212013
Implementation of Lévy CARMA model in Yuima package
SM Iacus, L Mercuri
Computational Statistics 30 (4), 1111-1141, 2015
202015
Portfolio selection with independent component analysis
A Hitaj, L Mercuri, E Rroji
Finance Research Letters 15, 146-159, 2015
142015
COGARCH (p, q): Simulation and Inference with yuima Package
SM Iacus, L Mercuri, E Rroji
JOURNAL OF STATISTICAL SOFTWARE 80, 2017
12*2017
Mixed tempered stable distribution
E Rroji, L Mercuri
Quantitative Finance 15 (9), 1559-1569, 2015
122015
Option pricing in a dynamic Variance Gamma model
F BELLINI, L MERCURI
Journal of Financial Decision Making 7 (1), 2011
9*2011
Option pricing in Garch models
F Bellini, L Mercuri
92007
Option pricing in a conditional bilateral gamma model
F Bellini, L Mercuri
Central European Journal of Operations Research 22 (2), 373-390, 2014
72014
Implicit expectiles and measures of implied volatility
F Bellini, L Mercuri, E Rroji
Quantitative Finance 18 (11), 1851-1864, 2018
62018
Option pricing in an exponential MixedTS Lévy process
L Mercuri, E Rroji
Annals of Operations Research 260 (1-2), 353-374, 2018
62018
Hedge fund portfolio allocation with higher moments and mvg models
A Hitaj, L Mercuri
Advances in Financial Risk Management, 331-346, 2013
62013
Risk parity for Mixed Tempered Stable distributed sources of risk
L Mercuri, E Rroji
Annals of Operations Research 260 (1-2), 375-393, 2018
5*2018
On properties of the MixedTS distribution and its multivariate extension
A Hitaj, F Hubalek, L Mercuri, E Rroji
International Statistical Review 86 (3), 512-540, 2018
4*2018
Pricing Asian options in affine Garch models
M Lorenzo
International Journal of Theoretical and Applied Finance 14 (02), 313-333, 2011
42011
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
G Consigli, V Moriggia, S Vitali, L Mercuri
Computational Management Science 15 (3-4), 599-632, 2018
32018
Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation
SM Iacus, L Mercuri, E Rroji
Journal of Time Series Analysis 39 (5), 787-809, 2018
32018
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
F Bellini, L Mercuri, E Rroji
Quantitative Finance 20 (11), 1839-1848, 2020
22020
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
A Hitaj, L Mercuri, E Rroji
Computational Management Science 16 (1-2), 71-95, 2019
22019
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Artikler 1–20