3 papers
q-fin.MF2026
Market-implied time to transition to a low-carbon economy: a stochastic modelling and inference framework
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji +1
This paper introduces a new market-implied object, Time to Transition (TtT), extracted from the difference between two selected nodes of the greenium term structure. TtT is defined…
stat.CO2025
Simulation thinning algorithm for a CARMA(p,q)-Hawkes model
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
This paper presents an algorithm for the simulation of Hawkes-type processes where the intensity is expressed in terms of a continuous-time autoregressive moving average model. We…
q-fin.MF2024
Option Pricing with a Compound CARMA(p,q)-Hawkes
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model general…