MERCURI, LORENZO

MERCURI, LORENZO  

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Titolo Tipologia Data di pubblicazione Autori File
Pricing Asian Options in Affine Garch models 99 - Altro 2008 MERCURI, LORENZO
Option pricing in a Garch model with tempered stable innovations 01 - Articolo su rivista 2008 MERCURI, LORENZO
A new affine stochastic volatility model with normal variance - mean mixture 99 - Altro 2009 MERCURI, LORENZO
Estimation and calibration of a Dynamic Variance Gamma model 99 - Altro 2010 MERCURI, LORENZO
Pricing asian options in affine garch models 01 - Articolo su rivista 2011 MERCURI, LORENZO
Approximation of the variance gamma model with a finite mixture of normals 99 - Altro 2011 MERCURI, LORENZOLOREGIAN, ANGELARROJI, EDIT
Option pricing in a dynamic Variance Gamma model 01 - Articolo su rivista 2011 MERCURI, LORENZOBELLINI, FABIO
Approximation of the variance gamma model with a finite mixture of normals 01 - Articolo su rivista 2011 Loregian, AMERCURI, LORENZO +
Portfolio Allocation using Multivariate Variance Gamma 99 - Altro 2011 HITAJ, ASMERILDAMERCURI, LORENZO
Option pricing in a conditional Bilateral Gamma model 99 - Altro 2012 BELLINI, FABIOMERCURI, LORENZO
Constructing a class of stochastic volatility models: empirical investigation with VIX data 99 - Altro 2013 HITAJ, ASMERILDARROJI, EDITMERCURI, LORENZO
Risk measurement using the mixed tempered stable distribution 03 - Contributo in libro 2014 Mercuri, LRroji, E.
Portfolio selection with independent component analysis 01 - Articolo su rivista 2015 HITAJ, ASMERILDAMERCURI, LORENZORROJI, EDIT
On multivariate extensions of the Mixed Tempered Stable distribution 03 - Contributo in libro 2016 Hitaj, AMercuri, LRroji, E +
Implicit expectiles and measures of implied volatility 01 - Articolo su rivista 2018 Bellini, FabioMercuri, LorenzoRroji, Edit
VIX computation based on affine stochastic volatility models in discrete time 03 - Contributo in libro 2018 Hitaj, A.Mercuri, L.Rroji, E.
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling 03 - Contributo in libro 2018 Hitaj, AMercuri, LRroji, E
Option pricing in an exponential MixedTS Lévy process 01 - Articolo su rivista 2018 MERCURI, LORENZORROJI, EDIT
Risk parity for Mixed Tempered Stable distributed sources of risk 01 - Articolo su rivista 2018 Mercuri, LRroji, E.
On Properties of the MixedTS Distribution and Its Multivariate Extension 01 - Articolo su rivista 2018 Hitaj, AsmerildaMercuri, LorenzoRroji, Edit +