Riccardo Brignone

MaRDI QIDQ2120599zbMATH 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
Hawkes processes in energy markets: modelling, estimation and derivatives pricing	2024-09-25	Paper
Unified moment-based modeling of integrated stochastic processes Operations Research	2024-09-05	Paper
Exact simulation of the Hull and White stochastic volatility model Journal of Economic Dynamics and Control	2024-07-16	Paper
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters Annals of Operations Research	2024-06-04	Paper
Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model SIAM Journal on Scientific Computing	2024-05-07	Paper
Moments of integrated exponential Lévy processes and applications to Asian options pricing Quantitative Finance	2022-09-30	Paper
Arbitrage-free Nelson-Siegel model for multiple yield curves Mathematics and Financial Economics	2022-04-01	Paper
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process Mathematics and Financial Economics	2021-09-28	Paper
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models Insurance Mathematics & Economics	2021-03-17	Paper
Asian options pricing in Hawkes-type jump-diffusion models Annals of Finance	2020-04-20	Paper

Research outcomes over time

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