Massimiliano Frezza

Publication Activity (10 Years)

Years Active: 2022-2023
Publications (10 Years): 3

Top Topics

Financial Time Series

Polynomial Approximation

Top Venues

Commun. Nonlinear Sci. Numer. Simul.

Comput. Manag. Sci.

Publications

Massimiliano Frezza, Sergio Bianchi, Augusto Pianese
Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity. Commun. Nonlinear Sci. Numer. Simul. 121 (2023)
Sergio Bianchi, Daniele Angelini, Augusto Pianese, Massimiliano Frezza
Rough volatility via the Lamperti transform. Commun. Nonlinear Sci. Numer. Simul. 127 (2023)
Massimiliano Frezza, Sergio Bianchi, Augusto Pianese
Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process. Comput. Manag. Sci. 19 (1) (2022)