2 citations · 3 across the 3 of their papers we have counts for
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q-fin.PM2018
Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs
Michele Leonardo Bianchi
In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze…
q-fin.PM2018★ 2 cited
Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform
Michele Leonardo Bianchi, Gian Luca Tassinari
In this study we suggest a portfolio selection framework based on option-implied information and multivariate non-Gaussian models. The proposed models incorporate skewness, kurtosi…