Riccardo Brignone

Available identifiers

zbMath Open brignone.riccardoMaRDI QIDQ2120599

List of research outcomes

Publication	Date of Publication	Type
Hawkes processes in energy markets: modelling, estimation and derivatives pricing	2024-09-25	Paper
Unified moment-based modeling of integrated stochastic processes	2024-09-05	Paper
Exact simulation of the Hull and White stochastic volatility model	2024-07-16	Paper
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters	2024-06-04	Paper
Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model	2024-05-07	Paper
Moments of integrated exponential Lévy processes and applications to Asian options pricing	2022-09-30	Paper
Arbitrage-free Nelson-Siegel model for multiple yield curves	2022-04-01	Paper
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process	2021-09-28	Paper
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models	2021-03-17	Paper
Asian options pricing in Hawkes-type jump-diffusion models	2020-04-20	Paper

Research outcomes over time

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