Edit Rroji

Polytechnic University of Milan - Department of Mathematics

Via Bonardi, 9

Milano, MI 20133

Italy

SCHOLARLY PAPERS

14

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CITATIONS
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8

Scholarly Papers (14)

1.

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
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 (189,960)

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Affine Stochastic Volatility, VIX, Implied Volatility Surface

2.

Portfolio Selection with Independent Component Analysis

Finance Research Letters, Forthcoming
Number of pages: 10 Posted: 09 Sep 2015
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 144 (199,648)
Citation 1

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Independent Components, Portfolio Allocation, Infinitely Divisible Distributions

3.

Measuring Risk with COGARCH(p,q) Models

Number of pages: 31 Posted: 17 Oct 2016
Catholic University of the Sacred Heart of Milan, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 100 (261,898)

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

4.

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 (276,471)
Citation 3

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

5.

Assessing Longevity Risk in a Portfolio of Life Annuities

Number of pages: 25 Posted: 05 Sep 2016 Last Revised: 28 Sep 2016
Ermanno Pitacco and Edit Rroji
University of Trieste - Dipartimento di Scienze Economiche, Aziendali, Matematiche e Statistiche B. de Finetti and Polytechnic University of Milan - Department of Mathematics
Downloads 76 (310,647)

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Longevity; Bootstrap; Life annuity; Mortality law

6.

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 (322,760)
Citation 1

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Implied Volatility; VIX Index; Expectiles; Interexpectile difference

7.

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
ARPM, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 52 (376,960)
Citation 2

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

8.

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 (415,341)
Citation 1

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

9.

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 (423,037)

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

10.

Stochastic Mortality Modelling: Some Extensions Based on Lévy CARMA Models

Number of pages: 24 Posted: 23 Aug 2017
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 (439,425)

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

11.

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

Number of pages: 14 Posted: 02 Oct 2017
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 (526,893)

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Mixed Tempered Stable distribution; sensitivity analysis; portfolio optimization

12.

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

Number of pages: 11 Posted: 03 Nov 2015
University of Milan - Department of Economics, Business and Statistics, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 18 (526,893)
Citation 1

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13.

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

Number of pages: 4 Posted: 26 Jan 2018
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 (538,334)

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Mortality Models; Autocovariance Function; Ornstein-Uhlenbeck

14.

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
University of Milan - Department of Economics, Business and Statistics, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 1 (643,712)
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COGARCH(p,q) process, Skorokhod distance, pseudo log‐likelihood estimation