The following pages link to Lorenzo Mercuri (Q301217):
Displaying 21 items.
- Option pricing in a conditional bilateral Gamma model (Q301218) (← links)
- (Q419209) (redirect page) (← links)
- Approximation of the variance gamma model with a finite mixture of normals (Q419211) (← links)
- Implementation of Lévy CARMA model in \texttt{yuima} package (Q906147) (← links)
- Option pricing in an exponential mixedts Lévy process (Q1703561) (← links)
- Risk parity for mixed tempered stable distributed sources of risk (Q1703562) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
- Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming (Q1989739) (← links)
- Noise inference for ergodic Lévy driven SDE (Q2137798) (← links)
- Lévy CARMA models for shocks in mortality (Q2331010) (← links)
- (Q3295379) (← links)
- Implicit expectiles and measures of implied volatility (Q4619525) (← links)
- Mixed tempered stable distribution (Q4683086) (← links)
- Discrete‐Time Approximation of a Cogarch(<i>p</i>,<i>q</i>) Model and its Estimation (Q4684340) (← links)
- On the dependence structure between S&P500, VIX and implicit Interexpectile Differences (Q4957243) (← links)
- Finite Mixture Approximation of CARMA(p,q) Models (Q5013835) (← links)
- (Q5856820) (← links)
- On Properties of the MixedTS Distribution and Its Multivariate Extension (Q6086599) (← links)
- A Hawkes model with CARMA(p,q) intensity (Q6406993) (← links)
- An efficient unified approach for spread option pricing in a copula market model (Q6549601) (← links)
- Quasi-likelihood analysis for Student-Lévy regression (Q6635303) (← links)
