Access Statistics for Lorenzo Mercuri
Author contact details at EconPapers.
| Working Paper | File Downloads | Abstract Views | ||||||
|---|---|---|---|---|---|---|---|---|
| Last month | 3 months | 12 months | Total | Last month | 3 months | 12 months | Total | |
| Mixed Tempered Stable distribution | 0 | 0 | 0 | 25 | 0 | 0 | 9 | 122 |
| Multivariate Mixed Tempered Stable Distribution | 0 | 0 | 0 | 15 | 0 | 1 | 5 | 25 |
| Option Pricing in a Dynamic Variance-Gamma Model | 0 | 0 | 0 | 16 | 0 | 0 | 11 | 81 |
| Parametric Risk Parity | 0 | 0 | 0 | 39 | 0 | 0 | 5 | 56 |
| Total Working Papers | 0 | 0 | 0 | 95 | 0 | 1 | 30 | 284 |
| Journal Article | File Downloads | Abstract Views | ||||||
|---|---|---|---|---|---|---|---|---|
| Last month | 3 months | 12 months | Total | Last month | 3 months | 12 months | Total | |
| Approximation of the variance gamma model with a finite mixture of normals | 0 | 0 | 0 | 40 | 1 | 2 | 10 | 172 |
| COGARCH(p, q): Simulation and Inference with the yuima Package | 0 | 0 | 0 | 16 | 3 | 4 | 21 | 71 |
| Implementation of Lévy CARMA model in Yuima package | 0 | 0 | 0 | 15 | 1 | 2 | 17 | 73 |
| Mixed tempered stable distribution | 0 | 0 | 0 | 3 | 0 | 1 | 11 | 27 |
| Option pricing in a Garch model with tempered stable innovations | 0 | 0 | 0 | 121 | 0 | 0 | 8 | 380 |
| Option pricing in a conditional Bilateral Gamma model | 0 | 0 | 0 | 3 | 1 | 1 | 12 | 30 |
| Option pricing in an exponential MixedTS Lévy process | 0 | 0 | 1 | 8 | 1 | 1 | 8 | 46 |
| PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS | 0 | 0 | 0 | 6 | 0 | 0 | 14 | 42 |
| Portfolio allocation using multivariate variance gamma models | 0 | 0 | 0 | 21 | 0 | 1 | 6 | 112 |
| Portfolio selection with independent component analysis | 0 | 0 | 0 | 22 | 1 | 2 | 15 | 88 |
| Risk parity for Mixed Tempered Stable distributed sources of risk | 0 | 0 | 0 | 3 | 0 | 2 | 9 | 46 |
| Total Journal Articles | 0 | 0 | 1 | 258 | 8 | 16 | 131 | 1,087 |
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