129 citations · 587 across the 33 of their papers we have counts for
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q-fin.ST2017★ 1 cited
A new approach to the modeling of financial volumes
Guglielmo D'Amico, Filippo Petroni
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic chan…
q-fin.PR2017★ 3 cited
Multi-state models for evaluating conversion options in life insurance
Guglielmo D'Amico, Montserrat Guillen, Raimondo Manca +1
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to…