1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.ST2020★ 1 cited
Multivariate non-Gaussian models for financial applications
Michele Leonardo Bianchi, Asmerilda Hitaj, Gian Luca Tassinari
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing…
q-fin.PM2018
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…