3 citations · 4 across the 8 of their papers we have counts for
11 papers
Multivariate Lévy models: calibration and pricing
Giovanni Amici, Paolo Brandimarte, Francesco Messeri +1
The goal of this paper is to investigate how the marginal and dependence structures of a variety of multivariate Lévy models affect calibration and pricing. To this aim, we study t…
Measuring distribution risk in discrete models
Roberto Fontana, Patrizia Semeraro
Model risk measures consequences of choosing a model in a class of possible alternatives. We find analytical and simulated bounds for payoff functions on classes of plausible alter…
Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework
Marina Marena, Andrea Romeo, Patrizia Semeraro
This paper builds a multivariate Lévy-driven Ornstein-Uhlenbeck process for the management of non-maturing deposits, that are a major source of funding for banks. The contribution…
High dimensional Bernoulli distributions: algebraic representation and applications
Roberto Fontana, Patrizia Semeraro
The main contribution of this paper is to find a representation of the class of multivariate Bernoulli distributions with the same mean that allows us to fin…
Machine learning techniques in joint default assessment
Margherita Doria, Elisa Luciano, Patrizia Semeraro
This paper studies the consequences of capturing non-linear dependence among the covariates that drive the default of different obligors and the overall riskiness of their credit p…
Multivariate tempered stable additive subordination for financial models
Patrizia Semeraro
We study a class of multivariate tempered stable distributions and introduce the associated class of tempered stable Sato subordinators. These Sato subordinators are used to build…