6 citations · 14 across the 16 of their papers we have counts for
17 papers
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…
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…
Student t-Lévy regression model in YUIMA
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
The aim of this paper is to discuss an estimation and a simulation method in the \textsf{R} package YUIMA for a linear regression model driven by a Student- Lévy process with co…
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…
Investigating Short-Term Dynamics in Green Bond Markets
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory…
Quasi-Likelihood Analysis for Student-Lévy Regression
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We consider the quasi-likelihood analysis for a linear regression model driven by a Student-t Lévy process with constant scale and arbitrary degrees of freedom. The model is observ…
A Hawkes model with CARMA(p,q) intensity
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation fu…
An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model
Edoardo Berton, Lorenzo Mercuri
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The advantage of the proposed method is that it…
Noise Inference For Ergodic Lévy Driven SDE
Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara
We study inference for the driving Lévy noise of an ergodic stochastic differential equation (SDE) model, when the process is observed at high-frequency and long time and when the…
Finite Mixture Approximation of CARMA(p,q) Models
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
In this paper we show how to approximate the transition density of a CARMA(p, q) model driven by means of a time changed Brownian Motion based on the Gauss-Laguerre quadrature. We…
Multivariate Mixed Tempered Stable Distribution
Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri +1
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its cap…
Discrete time approximation of a COGARCH(p,q) model and its estimation
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
In this paper, we construct a sequence of discrete time stochastic processes that converges in probability and in the Skorokhod metric to a COGARCH(p,q) model. The result is useful…
Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project
Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji
In this paper we show how to simulate and estimate a COGARCH(p,q) model in the R package yuima. Several routines for simulation and estimation are available. Indeed for the generat…
Parametric Risk Parity
Lorenzo Mercuri, Edit Rroji
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independe…
Implementation of Lévy CARMA model in Yuima package
Stefano M. Iacus, Lorenzo Mercuri
The paper shows how to use the R package yuima available on CRAN for the simulation and the estimation of a general Lévy Continuous Autoregressive Moving Average (CARMA) model. The…
Mixed Tempered Stable distribution
Edit Rroji, Lorenzo Mercuri
In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption lea…
Option Pricing in a Dynamic Variance-Gamma Model
Lorenzo Mercuri, Fabio Bellini
We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamm…