Massimiliano Frezza

According to our database, Massimiliano Frezza authored at least 3 papers between 2022 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2023

Rough volatility via the Lamperti transform.

Sergio Bianchi, Daniele Angelini, Augusto Pianese, Massimiliano Frezza

Commun. Nonlinear Sci. Numer. Simul., December, 2023

Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity.

Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

Commun. Nonlinear Sci. Numer. Simul., June, 2023

2022

Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process.

Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

Comput. Manag. Sci., 2022