3 citations · 5 across the 10 of their papers we have counts for
11 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…
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…
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…
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…