Angela Loregian

ARPM

Researcher

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes

Financial Analysts Journal, Vol. 72, No. 3, 2016
Number of pages: 21 Posted: 24 Nov 2013 Last Revised: 20 Apr 2016
Attilio Meucci and Angela Loregian
ARPM - Advanced Risk and Portfolio Management and ARPM
Downloads 2,661 (4,318)

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rates as options, Black rates model, shadow rates, American option, perpetual option, call option, Bachelier process, VAR(1), term structure, yield curve, risk drivers, quest for invariance, projection

2.

Estimation of Multivariate Asset Models with Jumps

Number of pages: 33 Posted: 21 Apr 2015 Last Revised: 21 Sep 2018
Angela Loregian, Laura Ballotta, Gianluca Fusai and Marcos Fabricio Perez
ARPM, Sir John Cass Business School - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and Wilfrid Laurier University - School of Business & Economics
Downloads 163 (178,158)

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Multivariate Lévy models, Jump models, Factor models, Principal Components, Maximum Likelihood, EM algorithm, Intra-horizon Value at Risk

3.

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 (373,068)
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Variance Gamma Distribution, Finite Mixture, EM Algorithm, Laguerre polynomials