| Publication | Date of Publication | Type |
|---|
Non-maturing deposits modelling in an Ornstein-Uhlenbeck framework
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
High dimensional Bernoulli distributions: algebraic representation and applications
Bernoulli | 2024-01-16 | Paper |
Model risk in credit risk
Mathematical Finance | 2023-09-27 | Paper |
Exchangeable Bernoulli distributions: high dimensional simulation, estimation, and testing
Journal of Statistical Planning and Inference | 2023-06-20 | Paper |
Multivariate tempered stable additive subordination for financial models
Mathematics and Financial Economics | 2022-09-23 | Paper |
A note on the multivariate generalized asymmetric Laplace motion
Communications in Statistics: Theory and Methods | 2022-05-18 | Paper |
Graphical models for complex networks: an application to Italian museums
Journal of Applied Statistics | 2022-02-23 | Paper |
Computational and analytical bounds for multivariate Bernoulli distributions
Journal of Statistical Theory and Practice | 2022-02-10 | Paper |
Dependence calibration and portfolio fit with factor-based subordinators
Quantitative Finance | 2021-07-16 | Paper |
Multivariate tempered stable additive subordination for financial models
(available as arXiv preprint) | 2021-05-03 | Paper |
| Exchangeable Bernoulli distributions: high dimensional simulation, estimate and testing | 2021-01-19 | Paper |
On non-linear dependence of multivariate subordinated Lévy processes
Statistics & Probability Letters | 2020-12-18 | Paper |
Multivariate marked Poisson processes and market related multidimensional information flows
International Journal of Theoretical and Applied Finance | 2019-04-18 | Paper |
Representation of multivariate Bernoulli distributions with a given set of specified moments
Journal of Multivariate Analysis | 2018-10-16 | Paper |
Multivariate factor-based processes with Sato margins
International Journal of Theoretical and Applied Finance | 2018-03-15 | Paper |
| scientific article; zbMATH DE number 6811494 (Why is no real title available?) | 2017-11-22 | Paper |
| Characterization of multivariate Bernoulli distributions with given margins | 2017-06-05 | Paper |
A note on marked point processes and multivariate subordination
Statistics & Probability Letters | 2017-01-16 | Paper |
A generalized normal mean-variance mixture for return processes in finance
International Journal of Theoretical and Applied Finance | 2010-08-11 | Paper |
Single and joint default in a structural model with purely discontinuous asset prices
Quantitative Finance | 2010-04-23 | Paper |
Multivariate time changes for Lévy asset models: characterization and calibration
Journal of Computational and Applied Mathematics | 2010-01-15 | Paper |
A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
Refinement Derivatives and Values of Games
Mathematics of Operations Research | 2008-05-27 | Paper |
Stochastic Bounds for Discrete-time Claim Processes with Correlated Risks
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
On the preservation of the supermodular order under multivariate claim models
Ricerche di Matematica | 2006-09-28 | Paper |
A note on the portfolio selection problem
Theory and Decision | 2006-09-12 | Paper |
Preservation of positive and negative orthant dependence concepts under mixtures and applications
Journal of Applied Probability | 2005-04-04 | Paper |
Ageing and stochastic comparisons for a covariate failure model
Journal of Applied Probability | 2002-11-28 | Paper |
