Lorenzo Mercuri

According to our database, Lorenzo Mercuri authored at least 9 papers between 2014 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2025

Student t-Lévy regression model in yuima.

Hiroki Masuda, Lorenzo Mercuri, Yuma Uehara

R J., 2025

2024

An efficient unified approach for spread option pricing in a copula market model.

Edoardo Berton, Lorenzo Mercuri

Ann. Oper. Res., May, 2024

2021

Finite Mixture Approximation of CARMA(p, q) Models.

Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji

SIAM J. Financial Math., 2021

2019

Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization.

Asmerilda Hitaj, Lorenzo Mercuri, Edit Rroji

Comput. Manag. Sci., 2019

2018

Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.

Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri

Comput. Manag. Sci., 2018

Risk parity for Mixed Tempered Stable distributed sources of risk.

Lorenzo Mercuri, Edit Rroji

Ann. Oper. Res., 2018

Option pricing in an exponential MixedTS Lévy process.

Lorenzo Mercuri, Edit Rroji

Ann. Oper. Res., 2018

2015

Implementation of Lévy CARMA model in Yuima package.

Stefano Maria Iacus, Lorenzo Mercuri

Comput. Stat., 2015

2014

Option pricing in a conditional Bilateral Gamma model.

Fabio Bellini, Lorenzo Mercuri

Central Eur. J. Oper. Res., 2014