MERCURI, LORENZO
MERCURI, LORENZO
Pricing Asian Options in Affine Garch models
2008 Mercuri, L
Option pricing in a Garch model with tempered stable innovations
2008 Mercuri, L
A new affine stochastic volatility model with normal variance - mean mixture
2009 Mercuri, L
Estimation and calibration of a Dynamic Variance Gamma model
2010 Mercuri, L
Approximation of the variance gamma model with a finite mixture of normals
2011 Mercuri, L; Loregian, A; Rroji, E
Option pricing in a dynamic Variance Gamma model
2011 Mercuri, L; Bellini, F
Portfolio Allocation using Multivariate Variance Gamma
2011 Hitaj, A; Mercuri, L
Pricing asian options in affine garch models
2011 Mercuri, L
Option pricing in a conditional Bilateral Gamma model
2012 Bellini, F; Mercuri, L
Approximation of the variance gamma model with a finite mixture of normals
2012 Loregian, A; Mercuri, L; Rroji, E
Constructing a class of stochastic volatility models: empirical investigation with VIX data
2013 Hitaj, A; Rroji, E; Mercuri, L
Risk measurement using the mixed tempered stable distribution
2014 Mercuri, L; Rroji, E
Portfolio selection with independent component analysis
2015 Hitaj, A; Mercuri, L; Rroji, E
On multivariate extensions of the Mixed Tempered Stable distribution
2016 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
VIX computation based on affine stochastic volatility models in discrete time
2018 Hitaj, A; Mercuri, L; Rroji, E
Option pricing in an exponential MixedTS Lévy process
2018 Mercuri, L; Rroji, E
On Properties of the MixedTS Distribution and Its Multivariate Extension
2018 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
Implicit expectiles and measures of implied volatility
2018 Bellini, F; Mercuri, L; Rroji, E
Risk parity for Mixed Tempered Stable distributed sources of risk
2018 Mercuri, L; Rroji, E
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling
2018 Hitaj, A; Mercuri, L; Rroji, E