6 citations · 14 across the 16 of their papers we have counts for
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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…
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…