BRIGNONE, RICCARDO
BRIGNONE, RICCARDO
DIPARTIMENTO DI STATISTICA E METODI QUANTITATIVI
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Risultati 1 - 11 di 11 (tempo di esecuzione: 0.019 secondi).
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
2024 Brignone, R; Gonzato, L; Sgarra, C
Exact simulation of the Hull and White stochastic volatility model
2024 Brignone, R; Gonzato, L
EXACT SIMULATION OF THE MULTIFACTOR ORNSTEIN-UHLENBECK DRIVEN STOCHASTIC VOLATILITY MODEL
2024 Brignone, R
Unified Moment-Based Modeling of Integrated Stochastic Processes
2024 Kyriakou, I; Brignone, R; Fusai, G
Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
2023 Brignone, R; Gonzato, L; Lütkebohmert, E
Arbitrage-free Nelson–Siegel model for multiple yield curves
2022 Brignone, R; Gerhart, C; Lutkebohmert, E
Moments of integrated exponential Lévy processes and applications to Asian options pricing
2022 Brignone, R
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
2021 Bernis, G; Brignone, R; Scotti, S; Sgarra, C
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models
2021 Brignone, R; Kyriakou, I; Fusai, G
Asian options pricing in Hawkes-type jump-diffusion models
2020 Brignone, R; Sgarra, C
Moment based approximations for arithmetic averages with applications in derivative pricing, credit risk and Monte Carlo simulation
2020 Brignone, R