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Lorenzo Mercuri
Lorenzo Mercuri
Verified email at unimi.it
Title
Cited by
Cited by
Year
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
382012
Option pricing in a Garch model with tempered stable innovations
L Mercuri
Finance research letters 5 (3), 172-182, 2008
382008
Implementation of Lévy CARMA model in Yuima package
SM Iacus, L Mercuri
Computational Statistics 30, 1111-1141, 2015
272015
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri
Financial markets and portfolio management 27, 65-99, 2013
252013
Portfolio selection with independent component analysis
A Hitaj, L Mercuri, E Rroji
Finance Research Letters 15, 146-159, 2015
202015
COGARCH (p, q): Simulation and Inference with yuima Package
SM Iacus, L Mercuri, E Rroji
JOURNAL OF STATISTICAL SOFTWARE 80, 2017
18*2017
Financial technical indicator and algorithmic trading strategy based on machine learning and alternative data
A Frattini, I Bianchini, A Garzonio, L Mercuri
Risks 10 (12), 225, 2022
172022
Implicit expectiles and measures of implied volatility
F Bellini, L Mercuri, E Rroji
Quantitative Finance 18 (11), 1851-1864, 2018
152018
Mixed tempered stable distribution
E Rroji, L Mercuri
Quantitative Finance 15 (9), 1559-1569, 2015
152015
Option pricing in a conditional bilateral gamma model
F Bellini, L Mercuri
Central European Journal of Operations Research 22, 373-390, 2014
142014
Option pricing in a dynamic Variance Gamma model
F BELLINI, L MERCURI
Journal of Financial Decision Making 7 (1), 2011
10*2011
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
92020
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
92018
Option pricing in Garch models
F Bellini, L Mercuri
92007
Lévy CARMA models for shocks in mortality
A Hitaj, L Mercuri, E Rroji
Decisions in Economics and Finance 42, 205-227, 2019
82019
Finite mixture approximation of CARMA (p, q) models
L Mercuri, A Perchiazzo, E Rroji
SIAM Journal on Financial Mathematics 12 (4), 1416-1458, 2021
72021
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
7*2018
Risk parity for Mixed Tempered Stable distributed sources of risk
L Mercuri, E Rroji
Annals of Operations Research 260, 375-393, 2018
7*2018
Option pricing in an exponential MixedTS Lévy process
L Mercuri, E Rroji
Annals of Operations Research 260, 353-374, 2018
72018
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
62018
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Articles 1–20