Lorenzo Mercuri

Available identifiers

zbMath Open mercuri.lorenzoMaRDI QIDQ301217

List of research outcomes

Publication	Date of Publication	Type
Quasi-likelihood analysis for Student-Lévy regression	2024-11-09	Paper
An efficient unified approach for spread option pricing in a copula market model	2024-06-04	Paper
On Properties of the MixedTS Distribution and Its Multivariate Extension	2023-11-10	Paper
A Hawkes model with CARMA(p,q) intensity	2022-08-04	Paper
Noise inference for ergodic Lévy driven SDE	2022-05-11	Paper
Finite mixture approximation of CARMA(p,q) models	2021-12-02	Paper
On the dependence structure between S\&P500, VIX and implicit interexpectile differences	2021-09-03	Paper
On multivariate extensions of the mixed tempered stable distribution	2021-03-29	Paper
Estimation of Lévy CARMA models in the \texttt{yuima} package: application on the financial time series	2020-07-08	Paper
Lévy CARMA models for shocks in mortality	2019-10-23	Paper
Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization	2019-02-18	Paper
Implicit expectiles and measures of implied volatility	2019-02-06	Paper
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming	2018-10-29	Paper
Discrete-time approximation of a COGRAPH(\(p,q\)) model and its estimation	2018-09-28	Paper
Mixed tempered stable distribution	2018-09-19	Paper
Option pricing in an exponential mixedts Lévy process	2018-03-02	Paper
Risk parity for mixed tempered stable distributed sources of risk	2018-03-02	Paper
Option pricing in a conditional bilateral Gamma model	2016-06-30	Paper
Implementation of Lévy CARMA model in \texttt{yuima} package	2016-01-29	Paper
Approximation of the variance gamma model with a finite mixture of normals	2012-05-18	Paper

Research outcomes over time

This page was built for person: Lorenzo Mercuri