Zobrazeno 1 - 10
of 10
pro vyhledávání: '"Riccardo Brignone"'
Autor:
RICCARDO BRIGNONE
Publikováno v:
Quantitative Finance. 22:1717-1729
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::680ed29033d8474504a3cb431ad6bad6
https://doi.org/10.1080/14697688.2022.2070533
https://doi.org/10.1080/14697688.2022.2070533
Publikováno v:
Operations Research.
Dial M for Simulation For years, systems of stochastic differential equations (SDEs) were simulated by discretization, inevitably introducing a bias, which can be difficult to quantify accurately. To circumvent this, some attempts have been made to s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b92e7065874f96dc61e07009ec23e5d7
https://doi.org/10.1287/opre.2022.2422
https://doi.org/10.1287/opre.2022.2422
Publikováno v:
Annals of Operations Research.
Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are well documented salient features of commodity markets, where Asian options are very popular. We propose a model which takes into account all these stylized f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::81af736e1259c0b3a09269a5f65c0348
https://doi.org/10.1007/s10479-022-05152-x
https://doi.org/10.1007/s10479-022-05152-x
The abstract is available here: https://uscholar.univie.ac.at/o:1639065
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6627f9b10344b008827802f8a030e814
https://phaidra.univie.ac.at/o:1639065
https://phaidra.univie.ac.at/o:1639065
Publikováno v:
Mathematics and Financial Economics. 16:239-266
We propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson–Siegel factor lo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8dba9fcacfed4bbeb8bb0d66d5f9b87b
https://doi.org/10.1007/s11579-021-00308-y
https://doi.org/10.1007/s11579-021-00308-y
Publikováno v:
Mathematics and Financial Economics
Mathematics and Financial Economics, Springer Verlag, 2021, ⟨10.1007/s11579-021-00295-0⟩
Mathematics and Financial Economics, Springer Verlag, 2021, ⟨10.1007/s11579-021-00295-0⟩
We propose an extension of the $$\Gamma $$ Γ -OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process. By
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5a6890dba152155c54e80a856113f82
https://doi.org/10.1007/s11579-021-00295-0
https://doi.org/10.1007/s11579-021-00295-0
Publikováno v:
Insurance: Mathematics and Economics. 96:232-247
In this paper, we recall actuarial and financial applications of sums of dependent random variables that follow a non-Gaussian mean-reverting process and contemplate distribution approximations. Our work complements previous related studies restricte
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8d8410245b477f94809a9f37ea0b3b6c
https://doi.org/10.1016/j.insmatheco.2020.12.002
https://doi.org/10.1016/j.insmatheco.2020.12.002
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f1b2dc363a6ddc232c5773604915d277
https://doi.org/10.2139/ssrn.3893758
https://doi.org/10.2139/ssrn.3893758
Publikováno v:
SSRN Electronic Journal.
We propose an extension of the Gamma-OU Barndorff-Nielsen and Shephard model taking into account jump clustering phenomena. We assume that the intensity process of the Hawkes driver coincides, up to a constant, with the variance process. By applying
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e64c187fea4a26fc2f268a2bcba9205
https://doi.org/10.2139/ssrn.3370304
https://doi.org/10.2139/ssrn.3370304
Autor:
Riccardo Brignone, Gianfranco Forte
Publikováno v:
SSRN Electronic Journal.
Markowitz (1952) Mean-Variance (MV) portfolio optimization has been the starting point of the modern portfolio theory. However, the efficient frontier has never gained popularity between practitioners due to several drawbacks. The model portfolios ar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b45bfd2d5efa108f4ff094e023ddddf9
https://doi.org/10.2139/ssrn.2798018
https://doi.org/10.2139/ssrn.2798018