MERCURI, LORENZO

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MERCURI, LORENZO

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Risultati 1 - 13 di 13 (tempo di esecuzione: 0.011 secondi).

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

Portfolio Allocation using Multivariate Variance Gamma

2011 Hitaj, A; 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

Pricing asian options in affine garch models

2011 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

On multivariate extensions of the Mixed Tempered Stable distribution

2016 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E

Implicit expectiles and measures of implied volatility

2018 Bellini, F; Mercuri, L; Rroji, E

Titolo	Tipologia	Data di pubblicazione	Autori
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
Portfolio Allocation using Multivariate Variance Gamma	99 - Altro	2011	HITAJ, ASMERILDAMERCURI, 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
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, LORENZORroji, E. + -
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, AHubalek, FMercuri, LRroji, E + -
Implicit expectiles and measures of implied volatility	01 - Articolo su rivista	2018	Bellini, FabioMercuri, LorenzoRroji, Edit

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MERCURI, LORENZO

Pricing Asian Options in Affine Garch models

Option pricing in a Garch model with tempered stable innovations

A new affine stochastic volatility model with normal variance - mean mixture

Estimation and calibration of a Dynamic Variance Gamma model

Portfolio Allocation using Multivariate Variance Gamma

Approximation of the variance gamma model with a finite mixture of normals

Option pricing in a dynamic Variance Gamma model

Pricing asian options in affine garch models

Approximation of the variance gamma model with a finite mixture of normals

Constructing a class of stochastic volatility models: empirical investigation with VIX data

Risk measurement using the mixed tempered stable distribution

On multivariate extensions of the Mixed Tempered Stable distribution

Implicit expectiles and measures of implied volatility