Lorenzo Mercuri

Publication Activity (10 Years)

Years Active: 2014-2024
Publications (10 Years): 6

Top Topics

Asset Liability Management

Sensitivity Analysis

Portfolio Optimization

Top Venues

Ann. Oper. Res.

Comput. Manag. Sci.

SIAM J. Financial Math.

Central Eur. J. Oper. Res.

Publications

Edoardo Berton, Lorenzo Mercuri
An efficient unified approach for spread option pricing in a copula market model. Ann. Oper. Res. 336 (1-2) (2024)
Lorenzo Mercuri, Andrea Perchiazzo, Edit Rroji
Finite Mixture Approximation of CARMA(p, q) Models. SIAM J. Financial Math. 12 (4) (2021)
Asmerilda Hitaj, Lorenzo Mercuri, Edit Rroji
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization. Comput. Manag. Sci. 16 (1-2) (2019)
Lorenzo Mercuri, Edit Rroji
Option pricing in an exponential MixedTS Lévy process. Ann. Oper. Res. 260 (1-2) (2018)
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. Comput. Manag. Sci. 15 (3-4) (2018)
Lorenzo Mercuri, Edit Rroji
Risk parity for Mixed Tempered Stable distributed sources of risk. Ann. Oper. Res. 260 (1-2) (2018)
Stefano Maria Iacus, Lorenzo Mercuri
Implementation of Lévy CARMA model in Yuima package. Comput. Stat. 30 (4) (2015)
Fabio Bellini, Lorenzo Mercuri
Option pricing in a conditional Bilateral Gamma model. Central Eur. J. Oper. Res. 22 (2) (2014)