BRIGNONE, RICCARDO
BRIGNONE, RICCARDO
DIPARTIMENTO DI SCIENZE ECONOMICHE E AZIENDALI
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Risultati 1 - 10 di 10 (tempo di esecuzione: 0.024 secondi).
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.
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 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
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.
Unified Moment-Based Modeling of Integrated Stochastic Processes
2024-01-01 Kyriakou, I.; Brignone, R.; Fusai, G.