Lorenzo Mercuri

Orcid: 0000-0003-0490-2952

According to our database1, Lorenzo Mercuri authored at least 8 papers between 2014 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

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PhD thesis 
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Links

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Bibliography

2024
An efficient unified approach for spread option pricing in a copula market model.
Ann. Oper. Res., May, 2024

2021
Finite Mixture Approximation of CARMA(p, q) Models.
SIAM J. Financial Math., 2021

2019
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization.
Comput. Manag. Sci., 2019

2018
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.
Comput. Manag. Sci., 2018

Risk parity for Mixed Tempered Stable distributed sources of risk.
Ann. Oper. Res., 2018

Option pricing in an exponential MixedTS Lévy process.
Ann. Oper. Res., 2018

2015
Implementation of Lévy CARMA model in Yuima package.
Comput. Stat., 2015

2014
Option pricing in a conditional Bilateral Gamma model.
Central Eur. J. Oper. Res., 2014


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