MERCURI, LORENZO
MERCURI, LORENZO
Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach
2022 Bianchi, F; Mercuri, L; Rroji, E
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
2019 Hitaj, A; Mercuri, L; Rroji, E
Lévy CARMA models for shocks in mortality
2019 Hitaj, A; Mercuri, L; Rroji, E
Implicit expectiles and measures of implied volatility
2018 Bellini, F; Mercuri, L; Rroji, E
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling
2018 Hitaj, A; 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
Risk parity for Mixed Tempered Stable distributed sources of risk
2018 Mercuri, L; Rroji, E
On Properties of the MixedTS Distribution and Its Multivariate Extension
2018 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
On multivariate extensions of the Mixed Tempered Stable distribution
2016 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
Portfolio selection with independent component analysis
2015 Hitaj, A; Mercuri, L; Rroji, E
Risk measurement using the mixed tempered stable distribution
2014 Mercuri, L; Rroji, E
Constructing a class of stochastic volatility models: empirical investigation with VIX data
2013 Hitaj, A; Rroji, E; Mercuri, L
Option pricing in a conditional Bilateral Gamma model
2012 Bellini, F; Mercuri, L
Portfolio Allocation using Multivariate Variance Gamma
2011 Hitaj, A; Mercuri, L
Option pricing in a dynamic Variance Gamma model
2011 Mercuri, L; Bellini, F
Pricing asian options in affine garch models
2011 Mercuri, L
Approximation of the variance gamma model with a finite mixture of normals
2011 Loregian, A; Mercuri, L; Rroji, E
Approximation of the variance gamma model with a finite mixture of normals
2011 Mercuri, L; Loregian, A; Rroji, E
Estimation and calibration of a Dynamic Variance Gamma model
2010 Mercuri, L