GONZATO, LUCA
GONZATO, LUCA
DIPARTIMENTO DI STATISTICA E METODI QUANTITATIVI
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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
Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
2023 Brignone, R; Gonzato, L; Lütkebohmert, E
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging
2021 Gonzato, L; Sgarra, C
Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models
2020 Gonzato, L
Titolo | Tipologia | Data di pubblicazione | Autori | File |
---|---|---|---|---|
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters | 01 - Articolo su rivista | 2024 | Brignone R.Gonzato L. + | |
Exact simulation of the Hull and White stochastic volatility model | 01 - Articolo su rivista | 2024 | Brignone R.Gonzato L. | |
Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants | 01 - Articolo su rivista | 2023 | Brignone R.Gonzato L. + | |
Self-exciting jumps in the oil market: Bayesian estimation and dynamic hedging | 01 - Articolo su rivista | 2021 | Gonzato L. + | |
Application of Sequential Monte Carlo Methods to Dynamic Asset Pricing Models | 07 - Tesi di dottorato Bicocca post 2009 | 2020 | GONZATO, LUCA |