Option pricing in a conditional Bilateral Gamma model. - Fabio Bellini; Lorenzo Mercuri (Central Eur. J. Oper. Res., 2014)

Implementation of Lévy CARMA model in Yuima package. - Stefano Maria Iacus; Lorenzo Mercuri (Comput. Stat., 2015)

Option pricing in an exponential MixedTS Lévy process. - Lorenzo Mercuri; Edit Rroji (Ann. Oper. Res., 2018)

Risk parity for Mixed Tempered Stable distributed sources of risk. - Lorenzo Mercuri; Edit Rroji (Ann. Oper. Res., 2018)

Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. - Giorgio Consigli; Vittorio Moriggia; Sebastiano Vitali; Lorenzo Mercuri (Comput. Manag. Sci., 2018)

Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization. - Asmerilda Hitaj; Lorenzo Mercuri; Edit Rroji (Comput. Manag. Sci., 2019)

Finite Mixture Approximation of CARMA(p, q) Models. - Lorenzo Mercuri; Andrea Perchiazzo; Edit Rroji (SIAM J. Financial Math., 2021)

An efficient unified approach for spread option pricing in a copula market model. - Edoardo Berton; Lorenzo Mercuri (Ann. Oper. Res., 2024)