Michele Leonardo Bianchi

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
Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs Communications in Statistics. Simulation and Computation	2022-09-14	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
Tempered stable Ornstein– Uhlenbeck processes: A practical view Communications in Statistics. Simulation and Computation	2017-03-03	Paper
Riding with the four horsemen and the multivariate normal tempered stable model International Journal of Theoretical and Applied Finance	2016-06-22	Paper
Discussion of `On simulation and properties of the stable law' by Devroye and James Statistical Methods and Applications	2016-03-17	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
scientific article; zbMATH DE number 5901077 (Why is no real title available?)	2011-05-30	Paper
Financial models with Lévy processes and volatility clustering.	2011-03-14	Paper
Multi-tail generalized elliptical distributions for asset returns Econometrics Journal	2010-10-15	Paper
scientific article; zbMATH DE number 5566166 (Why is no real title available?)	2009-06-18	Paper
Descent method with inexact linesearch for monotone EPs	2009-06-03	Paper

Research outcomes over time

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