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
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
Portfolio Allocation using Multivariate Variance Gamma 99 - Altro 2011 HITAJ, ASMERILDAMERCURI, 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 01 - Articolo su rivista 2012 Loregian, AMERCURI, 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.
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