Gian Luca Tassinari

MaRDI QIDQ2051159zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Estimation for multivariate normal rapidly decreasing tempered stable distributions Journal of Statistical Computation and Simulation	2024-06-11	Paper
Extracting implied volatilities from bank bonds Quantitative Finance	2023-09-25	Paper
Catastrophic risks and the pricing of catastrophe equity put options Computational Management Science	2021-11-24	Paper
Forward-looking portfolio selection with multivariate non-Gaussian models Quantitative Finance	2020-12-07	Paper
Valuation of collateralized funds of hedge fund obligations: a basket option pricing approach Mathematical and Statistical Methods for Actuarial Sciences and Finance	2018-12-13	Paper
Riding with the four horsemen and the multivariate normal tempered stable model International Journal of Theoretical and Applied Finance	2016-06-22	Paper
Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform International Journal of Theoretical and Applied Finance	2014-08-08	Paper
Pricing equity and debt tranches of collateralized funds of hedge fund obligations: an approach based on stochastic time change and Esscher-transformed martingale measure Quantitative Finance	2014-03-04	Paper

Research outcomes over time

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