BRIGNONE, RICCARDO
BRIGNONE, RICCARDO
DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
2021-01-01 Bernis, G.; Brignone, R.; Scotti, S.; Sgarra, C.
Arbitrage-free Nelson–Siegel model for multiple yield curves
2022-01-01 Brignone, R.; Gerhart, C.; Lutkebohmert, E.
Asian options pricing in Hawkes-type jump-diffusion models
2020-01-01 Brignone, R.; Sgarra, C.
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
2024-01-01 Brignone, R.; Gonzato, L.; Sgarra, C.
Econometric analysis of crude oil price dynamics using time series of option prices
In corso di stampa Brignone, Riccardo; Gonzato, Luca
Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants
2023-01-01 Brignone, Riccardo; Gonzato, Luca; Lütkebohmert, Eva
Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
2026-01-01 Brignone, Riccardo; Junike, Gero
Exact simulation of the Hull and White stochastic volatility model
2024-01-01 Brignone, Riccardo; Gonzato, Luca
Exact Simulation of the Multifactor Ornstein–Uhlenbeck Driven Stochastic Volatility Model
2024-01-01 Brignone, Riccardo
Fast Bayesian Calibration of Option Pricing Models Based on Sequential Monte Carlo Methods and Deep Learning
2026-01-01 Brignone, Riccardo; Gonzato, Luca; Knaust, Sven; Luetkebohmert, Eva
Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models
2021-01-01 Brignone, R.; Kyriakou, I.; Fusai, G.
Moments of integrated exponential Lévy processes and applications to Asian options pricing
2022-01-01 Brignone, R.
Nested-conditional factorization approach to Asian options pricing
2026-01-01 Brignone, Riccardo
Unified Moment-Based Modeling of Integrated Stochastic Processes
2024-01-01 Kyriakou, I.; Brignone, R.; Fusai, G.