6 citations · 14 across the 16 of their papers we have counts for
4 papers · 1 filter
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…