Camilla Pisani

Aarhus University - Department of Business and Economics

Aarhus University - Department of Economics and Business Economics

Fuglesangs Alle 4

Aarhus, 8210

Denmark

SCHOLARLY PAPERS

2

DOWNLOADS

100

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

The Multivariate Mixture Dynamics Model: Shifted Dynamics and Correlation Skew

Number of pages: 24 Posted: 16 Dec 2015 Last Revised: 09 Nov 2018
Damiano Brigo, Camilla Pisani and Francesco Rapisarda
Imperial College London - Department of Mathematics, Aarhus University - Department of Business and Economics and Bloomberg L.P.
Downloads 100 (267,190)
Citation 1

Abstract:

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MVMD model, Mixture of densities, Multivariate local volatility, Correlation Skew, Random Correlation, Calibration, Cross exchange rates, FX smile, Index volatility smile, renminbi-USD smile, renminbi-EUR smile, CNY-USD smile, CNY-EUR smile, SCMD model

2.

The Impact of Jump Distributions on the Implied Volatility of Variance

Posted: 17 Feb 2014
Elisa Nicolato, Camilla Pisani and David Sloth
Aarhus University - Department of Business and Economics, Aarhus University - Department of Business and Economics and Danske Bank - Danske Markets

Abstract:

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Jump distributions stochastic volatility option pricing realized variance volatility derivatives