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Journal Articles
- 2024
[j8]Edoardo Berton, Lorenzo Mercuri
:
An efficient unified approach for spread option pricing in a copula market model. Ann. Oper. Res. 336(1-2): 307-329 (2024)- 2021
- [j7]Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji:
Finite Mixture Approximation of CARMA(p, q) Models. SIAM J. Financial Math. 12(4): 1416-1458 (2021) - 2019
- [j6]Asmerilda Hitaj, Lorenzo Mercuri, Edit Rroji:
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization. Comput. Manag. Sci. 16(1-2): 71-95 (2019) - 2018
- [j5]Lorenzo Mercuri, Edit Rroji:
Option pricing in an exponential MixedTS Lévy process. Ann. Oper. Res. 260(1-2): 353-374 (2018) - [j4]Lorenzo Mercuri, Edit Rroji:
Risk parity for Mixed Tempered Stable distributed sources of risk. Ann. Oper. Res. 260(1-2): 375-393 (2018) - [j3]Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri:
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. Comput. Manag. Sci. 15(3-4): 599-632 (2018) - 2015
- [j2]Stefano Maria Iacus, Lorenzo Mercuri:
Implementation of Lévy CARMA model in Yuima package. Comput. Stat. 30(4): 1111-1141 (2015) - 2014
- [j1]Fabio Bellini, Lorenzo Mercuri:
Option pricing in a conditional Bilateral Gamma model. Central Eur. J. Oper. Res. 22(2): 373-390 (2014)
Coauthor Index
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