Details about Lorenzo Mercuri

Access statistics for papers by Lorenzo Mercuri.

Last updated 2018-03-11. Update your information in the RePEc Author Service.

Short-id: pme464

Working Papers

2016

1. Multivariate Mixed Tempered Stable Distribution
   Papers, arXiv.org View citations (1)

2014

2. Mixed Tempered Stable distribution
   Papers, arXiv.org View citations (4)
   See also Journal Article Mixed tempered stable distribution, Quantitative Finance, Taylor & Francis Journals (2015) View citations (7) (2015)
3. Option Pricing in a Dynamic Variance-Gamma Model
   Papers, arXiv.org View citations (3)
4. Parametric Risk Parity
   Papers, arXiv.org

Journal Articles

2018

1. Option pricing in an exponential MixedTS Lévy process
   Annals of Operations Research, 2018, 260, (1), 353-374 View citations (3)
2. Risk parity for Mixed Tempered Stable distributed sources of risk
   Annals of Operations Research, 2018, 260, (1), 375-393 View citations (2)

2017

3. COGARCH(p, q): Simulation and Inference with the yuima Package
   Journal of Statistical Software, 2017, 080, (i04) View citations (4)

2015

4. Implementation of Lévy CARMA model in Yuima package
   Computational Statistics, 2015, 30, (4), 1111-1141 View citations (6)
5. Mixed tempered stable distribution
   Quantitative Finance, 2015, 15, (9), 1559-1569 View citations (7)
   See also Working Paper Mixed Tempered Stable distribution, Papers (2014) View citations (4) (2014)
6. Portfolio selection with independent component analysis
   Finance Research Letters, 2015, 15, (C), 146-159 View citations (10)

2014

7. Option pricing in a conditional Bilateral Gamma model
   Central European Journal of Operations Research, 2014, 22, (2), 373-390 View citations (4)

2013

8. Portfolio allocation using multivariate variance gamma models
   Financial Markets and Portfolio Management, 2013, 27, (1), 65-99 View citations (9)

2012

9. Approximation of the variance gamma model with a finite mixture of normals
   Statistics & Probability Letters, 2012, 82, (2), 217-224 View citations (12)

2011

10. PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (02), 313-333 View citations (2)

2008

11. Option pricing in a Garch model with tempered stable innovations
    Finance Research Letters, 2008, 5, (3), 172-182 View citations (19)