Simone Scotti

Available identifiers

zbMath Open scotti.simoneMaRDI QIDQ1670393

List of research outcomes

Publication	Date of Publication	Type
The rough Hawkes Heston stochastic volatility model	2024-11-20	Paper
Stochastic evolution of distributions and functional Bollinger bands	2024-07-29	Paper
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data	2024-06-04	Paper
Interest Rates Term Structure Models Driven by Hawkes Processes	2023-11-23	Paper
The rough Hawkes Heston stochastic volatility model	2022-10-22	Paper
Optimal harvesting under marine reserves and uncertain environment	2022-05-20	Paper
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process	2021-09-28	Paper
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data	2021-06-17	Paper
Clustering Effects via Hawkes Processes	2020-11-12	Paper
Alternative to beta coefficients in the context of diffusions	2018-11-19	Paper
Sensitivity analysis for marked Hawkes processes: application to CLO pricing	2018-09-05	Paper
Optimal investment in markets with over and under-reaction to information	2017-11-09	Paper
Alpha-CIR model with branching processes in sovereign interest rate modeling	2017-07-21	Paper
Optimal execution cost for liquidation through a limit order market	2016-04-01	Paper
Stochastic Sensitivity Study for Optimal Credit Allocation	2015-10-21	Paper
OPTIMAL CREDIT ALLOCATION UNDER REGIME UNCERTAINTY WITH SENSITIVITY ANALYSIS	2015-04-15	Paper
Optimal exit strategies for investment projects	2015-01-30	Paper
Bid-Ask Spread Modelling, a Perturbation Approach	2014-02-19	Paper
An optimal dividend and investment control problem under debt constraints	2014-01-23	Paper
Asset Pricing under uncertainty	2012-03-26	Paper
Applications of the error theory using Dirichlet forms.	2010-04-06	Paper
Perturbative Approach on Financial Markets	2008-06-02	Paper
Risk Premium Impact in the Perturbative Black Scholes Model	2008-06-02	Paper
Errors Theory using Dirichlet Forms, Linear Partial Differential Equations and Wavelets	2007-08-08	Paper

Research outcomes over time

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