Details about Patrizia Semeraro

Access statistics for papers by Patrizia Semeraro.

Last updated 2019-07-18. Update your information in the RePEc Author Service.

Short-id: pse441

Working Papers

2019

1. Model Risk in Credit Risk
   Papers, arXiv.org

2015

2. Dependence Calibration and Portfolio Fit with FactorBased Time Changes
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (7)
3. Pricing multivariate barrier reverse convertibles with factor-based subordinators
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)

2014

4. A class of multivariate marked Poisson processes to model asset returns
   Carlo Alberto Notebooks, Collegio Carlo Alberto

2013

5. Measuring Determinants of House Prices: Listing Behaviour in Italian Real Estate Market
   ERES, European Real Estate Society (ERES)

2012

6. The incidence of characteristics in housing prices and offer prices
   ERES, European Real Estate Society (ERES)

2009

7. A Generalized Normal Mean Variance Mixture for Return Processes in Finance
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (5)
   See also Journal Article A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2010) View citations (9) (2010)

2008

8. Multivariate Variance Gamma and Gaussian dependence: a study with copulas
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)

2007

9. Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (4)
10. Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research
11. Single and joint default in a structural model with purely discontinuous assets
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (5)

2006

12. A Multivariate Time-Changed Lévy Model for Financial Applications
    ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research View citations (16)
13. Refinement Derivatives and Values of Games
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)

Journal Articles

2019

1. MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS
   International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (02), 1-26 View citations (3)

2018

2. Graphical models for complex networks: an application to Italian museums
   Journal of Applied Statistics, 2018, 45, (11), 2020-2038
3. MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS
   International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (01), 1-30 View citations (3)
4. Representation of multivariate Bernoulli distributions with a given set of specified moments
   Journal of Multivariate Analysis, 2018, 168, (C), 290-303 View citations (4)

2017

5. A note on Marked Point Processes and multivariate subordination
   Statistics & Probability Letters, 2017, 122, (C), 162-167 View citations (1)

2016

6. Dependence calibration and portfolio fit with factor-based subordinators
   Quantitative Finance, 2016, 16, (7), 1037-1052 View citations (11)

2015

7. Listing behaviour in the Italian real estate market
   International Journal of Housing Markets and Analysis, 2015, 8, (1), 97-117 View citations (9)

2010

8. A GENERALIZED NORMAL MEAN-VARIANCE MIXTURE FOR RETURN PROCESSES IN FINANCE
   International Journal of Theoretical and Applied Finance (IJTAF), 2010, 13, (03), 415-440 View citations (9)
   See also Working Paper A Generalized Normal Mean Variance Mixture for Return Processes in Finance, Carlo Alberto Notebooks (2009) View citations (5) (2009)
9. Single and joint default in a structural model with purely discontinuous asset prices
   Quantitative Finance, 2010, 10, (3), 249-263 View citations (7)

2008

10. A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (01), 1-18 View citations (36)

2005

11. A Note on the Portfolio Selection Problem
    Theory and Decision, 2005, 59, (4), 295-306 View citations (15)