Via Festa del Perdono, 7
Milan, 20122
Italy
University of Milan
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Variance-Gamma Distribution, Stochastic Volatility Model, Vix Index, Maximum Likelihood Estimation, Calibration
Independent Components, Portfolio Allocation, Infinitely Divisible Distributions
Affine Stochastic Volatility, VIX, Implied Volatility Surface
ICA-COGARCH(p,q) Model, Risk Measures, Portfolio Selection, Tree Construction
Variance-Gamma Distribution, Garch Processes, Affine Stochastic Volatility Models, Semianalytical Formula, Esscher Transform
VIX, Implicit Expectiles Interexpectile Differences, ARMA-GARCH, Copulas
Implied Volatility; VIX Index; Expectiles; Interexpectile difference
Independent Component Analysis; Tempered Stable distribution; Mixture Models; Economic Factors; Statistical Factors
Variance Gamma Distribution, Finite Mixture, EM Algorithm, Laguerre polynomials
bilateral gamma, garch, bilateral esscher transform, semianalytical pricing, SPX options
Exponential Lévy process, Mixed Tempered Stable, R package, Calibration
Stochastic Mortality, CARMA(p,q) model, Lévy process
Gauss Laguerre Quadrature; CARMA Process; Option Pricing Formula
Mixed Tempered Stable distribution; sensitivity analysis; portfolio optimization
Mortality Models; Autocovariance Function; Ornstein-Uhlenbeck
Point processes, Autocorrelation, CARMA, Hawkes
Simulation, CARMA-Hawkes, Thinning algorithm