139 citations · 444 across the 30 of their papers we have counts for
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q-fin.PR2013★ 4 cited
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio +2
Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have…
q-fin.ST2013★ 10 cited
Scaling symmetry, renormalization, and time series modeling
Marco Zamparo, Fulvio Baldovin, Michele Caraglio +1
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivari…