Andrea Perchiazzo

University of Milan

Via Festa del Perdono 7

Milan, 20122

Italy

  • University of Milan

SCHOLARLY PAPERS

6

DOWNLOADS

497

TOTAL CITATIONS

2

Scholarly Papers (6)

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1.

Implied Value-at-Risk and Model-Free Simulation

Number of pages: 22 Posted: 08 Nov 2021
Carole Bernard, Andrea Perchiazzo and Steven Vanduffel
Grenoble Ecole de Management, University of Milan and Vrije Universiteit Brussel (VUB)
Downloads 179 (358,074)

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implied Value-at-Risk, model-free simulation under risk-neutral probability, exact simulation, stochastic volatility models, SABR model, Heston model.

2.

Multivariate Portfolio Choice Via Quantiles

Number of pages: 40 Posted: 21 Nov 2024
Carole Bernard, Andrea Perchiazzo and Steven Vanduffel
Grenoble Ecole de Management, University of Milan and Vrije Universiteit Brussel (VUB)
Downloads 173 (368,908)

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decision analysis, multivariate optimal portfolio choice, quantile approach, multivariate utility, cost-efficiency.

3.

Finite Mixture Approximation of CARMA(p,q) Models

Number of pages: 28 Posted: 16 Jun 2020
Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji
University of Milan, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 59 (770,307)
Citation 1

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Gauss Laguerre Quadrature; CARMA Process; Option Pricing Formula

4.

Modelling Jumps with Carma(P,Q)-Hawkes: An Application to Corporate Bond Markets

Number of pages: 15 Posted: 10 Oct 2024
Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji
University of Milan, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 47 (858,533)

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Hawkes, CARMA, jumps, green bonds

5.

Simulation Thinning Algorithm for a Carma(P,Q)-Hawkes Model

Number of pages: 11 Posted: 14 Feb 2024
Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji
University of Milan, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 22 (1,117,653)

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Simulation, CARMA-Hawkes, Thinning algorithm

6.

A Hawkes Model with Carma(P,Q) Intensity

Number of pages: 45 Posted: 01 Jul 2023
Lorenzo Mercuri, Andrea Perchiazzo and Edit Rroji
University of Milan, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 17 (1,180,248)
Citation 1

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Point processes, Autocorrelation, CARMA, Hawkes