42 citations · 110 across the 23 of their papers we have counts for
Showing 2020Show all
3 papers · 1 filter
math.PR2020
A cumulant approach for the first-passage-time problem of the Feller square-root process
Elvira Di Nardo, Giuseppe D'Onofrio
The paper focuses on an approximation of the first passage time probability density function of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial appro…
math.ST2020
Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix
E. Di Nardo
Hypergeometric functions and zonal polynomials are the tools usually addressed in the literature to deal with the expected value of the elementary symmetric functions in non-centra…
math.ST2020
On non-linear dependence of multivariate subordinated Lévy processes
Elvira Di Nardo, Marina Marena, Patrizia Semeraro
Multivariate subordinated Lévy processes are widely employed in finance for modeling multivariate asset returns. We propose to exploit non-linear dependence among financial assets…