Lorenzo Mercuri
Lorenzo Mercuri
Verified email at unimi.it
Title
Cited by
Cited by
Year
Option pricing in a Garch model with tempered stable innovations
L Mercuri
Finance research letters 5 (3), 172-182, 2008
322008
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri
Financial markets and portfolio management 27 (1), 65-99, 2013
262013
Approximation of the variance gamma model with a finite mixture of normals
A Loregian, L Mercuri, E Rroji
Statistics & Probability Letters 82 (2), 217-224, 2012
242012
Implementation of LÚvy CARMA model in Yuima package
SM Iacus, L Mercuri
Computational Statistics 30 (4), 1111-1141, 2015
222015
Portfolio selection with independent component analysis
A Hitaj, L Mercuri, E Rroji
Finance Research Letters 15, 146-159, 2015
172015
COGARCH (p, q): Simulation and Inference with yuima Package
SM Iacus, L Mercuri, E Rroji
JOURNAL OF STATISTICAL SOFTWARE 80, 2017
15*2017
Mixed tempered stable distribution
E Rroji, L Mercuri
Quantitative Finance 15 (9), 1559-1569, 2015
122015
Option pricing in a dynamic Variance Gamma model
F BELLINI, L MERCURI
Journal of Financial Decision Making 7 (1), 2011
9*2011
Option pricing in Garch models
F Bellini, L Mercuri
Preprint, Universita di Milano Bicocca, 2007
92007
Implicit expectiles and measures of implied volatility
F Bellini, L Mercuri, E Rroji
Quantitative Finance 18 (11), 1851-1864, 2018
82018
Option pricing in a conditional bilateral gamma model
F Bellini, L Mercuri
Central European Journal of Operations Research 22 (2), 373-390, 2014
72014
Option pricing in an exponential MixedTS LÚvy process
L Mercuri, E Rroji
Annals of Operations Research 260 (1), 353-374, 2018
62018
Hedge fund portfolio allocation with higher moments and mvg models
A Hitaj, L Mercuri
Advances in Financial Risk Management, 331-346, 2013
62013
Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation
SM Iacus, L Mercuri, E Rroji
Journal of Time Series Analysis 39 (5), 787-809, 2018
52018
Risk parity for Mixed Tempered Stable distributed sources of risk
L Mercuri, E Rroji
Annals of Operations Research 260 (1), 375-393, 2018
5*2018
On properties of the MixedTS distribution and its multivariate extension
A Hitaj, F Hubalek, L Mercuri, E Rroji
International Statistical Review 86 (3), 512-540, 2018
4*2018
Pricing Asian options in affine Garch models
M Lorenzo
International Journal of Theoretical and Applied Finance 14 (02), 313-333, 2011
42011
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
F Bellini, L Mercuri, E Rroji
Quantitative Finance 20 (11), 1839-1848, 2020
32020
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
G Consigli, V Moriggia, S Vitali, L Mercuri
Computational Management Science 15 (3), 599-632, 2018
32018
LÚvy CARMA models for shocks in mortality
A Hitaj, L Mercuri, E Rroji
Decisions in Economics and Finance 42 (1), 205-227, 2019
22019
The system can't perform the operation now. Try again later.
Articles 1–20