PERCHIAZZO, ANDREA
PERCHIAZZO, ANDREA
Dipartimento di Studi per l'Economia e l'Impresa
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Risultati 1 - 6 di 6 (tempo di esecuzione: 0.011 secondi).
A Hawkes model with CARMA(p,q) intensity
2024-01-01 Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit
Finite Mixture Approximation of CARMA(p,q) Models
2021-01-01 Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit
Implied value-at-risk and model-free simulation
2022-01-01 Bernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven
Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets
2025-01-01 Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit
Option pricing with a compound CARMA(p, q)-Hawkes
2025-01-01 Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit
Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion
2021-01-01 Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| A Hawkes model with CARMA(p,q) intensity | 1-gen-2024 | Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit | |
| Finite Mixture Approximation of CARMA(p,q) Models | 1-gen-2021 | Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit | |
| Implied value-at-risk and model-free simulation | 1-gen-2022 | Bernard, Carole; Perchiazzo, Andrea; Vanduffel, Steven | |
| Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets | 1-gen-2025 | Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit | |
| Option pricing with a compound CARMA(p, q)-Hawkes | 1-gen-2025 | Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit | |
| Pricing of Futures with a CARMA(p, q) Model Driven by a Time Changed Brownian Motion | 1-gen-2021 | Mercuri, Lorenzo; Perchiazzo, Andrea; Rroji, Edit |