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q-bio.PE2020
A fractional model for the COVID-19 pandemic: Application to Italian data
Elisa Alòs, Maria Elvira Mancino, Raúl Merino +1
We provide a probabilistic SIRD model for the COVID-19 pandemic in Italy, where we allow the infection, recovery and death rates to be random. In particular, the underlying random…
q-fin.MF2020
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
Maria Elvira Mancino, Simone Scotti, Giacomo Toscano
We empirically investigate the functional link between the variance swap rate and the spot variance. Using S\&P500 data over the period 2006-2018, we find overwhelming empirical ev…