Lorenzo Mercuri

University of Milan

Via Festa del Perdono, 7

Milan, 20122

Italy

SCHOLARLY PAPERS

17

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CITATIONS
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10

Scholarly Papers (17)

1.

Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data

Number of pages: 16 Posted: 22 Oct 2010
Lorenzo Mercuri
University of Milan
Downloads 234 (128,979)

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Variance-Gamma Distribution, Stochastic Volatility Model, Vix Index, Maximum Likelihood Estimation, Calibration

2.

VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time

Forthcoming on "Recent Advances in Commodity and Financial Modeling" Springer's International Series in Operations Research and Management Science.
Number of pages: 16 Posted: 29 Mar 2013 Last Revised: 19 Dec 2015
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 153 (189,752)

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Affine Stochastic Volatility, VIX, Implied Volatility Surface

3.

Portfolio Allocation Using Multivariate Variance Gamma

Number of pages: 21 Posted: 23 Dec 2011
Asmerilda Hitaj and Lorenzo Mercuri
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Milan
Downloads 145 (198,366)

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4.

Portfolio Selection with Independent Component Analysis

Finance Research Letters, Forthcoming
Number of pages: 10 Posted: 09 Sep 2015
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 143 (200,581)
Citation 1

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Independent Components, Portfolio Allocation, Infinitely Divisible Distributions

5.

Measuring Risk with COGARCH(p,q) Models

Number of pages: 31 Posted: 17 Oct 2016
Francesco Bianchi, Lorenzo Mercuri and Edit Rroji
Catholic University of the Sacred Heart of Milan, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 100 (261,636)

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ICA-COGARCH(p,q) Model, Risk Measures, Portfolio Selection, Tree Construction

6.

Mixed Tempered Stable Distribution (Preprint Version)

Rroji, E., Mercuri, L. Mixed tempered stable distribution (2014) Quantitative Finance, 11 p., Forthcoming
Number of pages: 18 Posted: 13 Oct 2013 Last Revised: 14 Nov 2014
Edit Rroji and Lorenzo Mercuri
Polytechnic University of Milan - Department of Mathematics and University of Milan
Downloads 92 (276,190)
Citation 3

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Independent Component Analysis; Tempered Stable distribution; Mixture Models; Economic Factors; Statistical Factors

7.

Implicit Expectiles and Measures of Implied Volatility

Number of pages: 19 Posted: 06 Sep 2017 Last Revised: 07 May 2018
Fabio Bellini, Lorenzo Mercuri and Edit Rroji
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 71 (322,420)
Citation 1

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Implied Volatility; VIX Index; Expectiles; Interexpectile difference

8.

Option Pricing in a Conditional Bilateral Gamma Model

Number of pages: 17 Posted: 28 Apr 2012
Fabio Bellini and Lorenzo Mercuri
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Milan
Downloads 56 (363,916)
Citation 2

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bilateral gamma, garch, bilateral esscher transform, semianalytical pricing, SPX options

9.

Approximation of the Variance Gamma Model with a Finite Mixture of Normals (Preprint version)

Statistics & Probability Letters, Vol. 82 (2), February 2012, Pages 217–224.
Number of pages: 19 Posted: 19 Apr 2011 Last Revised: 14 Nov 2014
Angela Loregian, Lorenzo Mercuri and Edit Rroji
ARPM, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 52 (376,535)
Citation 2

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Variance Gamma Distribution, Finite Mixture, EM Algorithm, Laguerre polynomials

10.

Option Pricing in an Exponential Mixedts Lévy Process

Annals of Operation Research, Forthcoming
Number of pages: 19 Posted: 09 Sep 2015 Last Revised: 01 Apr 2016
Lorenzo Mercuri and Edit Rroji
University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 41 (414,866)
Citation 1

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Exponential Lévy process, Mixed Tempered Stable, R package, Calibration

11.

On the Dependence Structure Between S&P500, Vix and Implicit Interexpectile Differences

Number of pages: 15 Posted: 08 Jan 2019
Fabio Bellini, Lorenzo Mercuri and Edit Rroji
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 39 (422,566)

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VIX, Implicit Expectiles Interexpectile Differences, ARMA-GARCH, Copulas

12.

Option Pricing in a Dynamic Variance-Gamma Model

Journal of Financial Decision Making, Vol. 7, 2011
Number of pages: 25 Posted: 16 Oct 2010 Last Revised: 29 May 2014
Lorenzo Mercuri and Fabio Bellini
University of Milan and University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi
Downloads 39 (422,566)
Citation 3

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Variance-Gamma Distribution, Garch Processes, Affine Stochastic Volatility Models, Semianalytical Formula, Esscher Transform

13.

Stochastic Mortality Modelling: Some Extensions Based on Lévy CARMA Models

Number of pages: 24 Posted: 23 Aug 2017
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 35 (438,916)

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Stochastic Mortality, CARMA(p,q) model, Lévy process

14.

Sensitivity Analysis of the Mixed Tempered Stable Parameters with Implications in Portfolio Optimization

Number of pages: 14 Posted: 02 Oct 2017
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 18 (526,208)

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Mixed Tempered Stable distribution; sensitivity analysis; portfolio optimization

15.

Discrete Time Approximation of a COGARCH(p,q) Model and its Estimation (Preliminary Version)

Number of pages: 11 Posted: 03 Nov 2015
Stefano Maria Iacus, Lorenzo Mercuri and Edit Rroji
University of Milan - Department of Economics, Business and Statistics, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 18 (526,208)
Citation 1

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16.

Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling

Number of pages: 4 Posted: 26 Jan 2018
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 16 (537,653)

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Mortality Models; Autocovariance Function; Ornstein-Uhlenbeck

17.

Discrete‐Time Approximation of a Cogarch(,) Model and its Estimation

Journal of Time Series Analysis, Vol. 39, Issue 5, pp. 787-809, 2018
Number of pages: 23 Posted: 20 Aug 2018
Stefano Maria Iacus, Lorenzo Mercuri and Edit Rroji
University of Milan - Department of Economics, Business and Statistics, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 1 (642,649)
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COGARCH(p,q) process, Skorokhod distance, pseudo log‐likelihood estimation