Lorenzo Mercuri : Citation Profile


Are you Lorenzo Mercuri?

Università degli Studi di Milano

3

H index

1

i10 index

30

Citations

RESEARCH PRODUCTION:

11

Articles

4

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 3
   Journals where Lorenzo Mercuri has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 12 (28.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme464
   Updated: 2019-10-15    RAS profile: 2018-03-11    
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Relations with other researchers


Works with:

Iacus, Stefano (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Lorenzo Mercuri.

Is cited by:

GUEGAN, Dominique (2)

Ielpo, Florian (2)

Fengler, Matthias (2)

Fabozzi, Frank (1)

Rombouts, Jeroen (1)

Stentoft, Lars (1)

Cites to:

Scaillet, Olivier (10)

gourieroux, christian (10)

Martellini, Lionel (4)

Fabozzi, Frank (4)

Christoffersen, Peter (4)

merton, robert (4)

Bollerslev, Tim (3)

Cao, Charles (3)

Wu, Liuren (3)

Chen, Zhiwu (3)

Scandolo, Giacomo (2)

Main data


Where Lorenzo Mercuri has published?


Journals with more than one article published# docs
Annals of Operations Research2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org4

Recent works citing Lorenzo Mercuri (2018 and 2017)


YearTitle of citing document
2019Tempered stable distributions and processes. (2019). Tappe, Stefan ; Kuchler, Uwe . In: Papers. RePEc:arx:papers:1907.05141.

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2019Exponential stock models driven by tempered stable processes. (2019). Tappe, Stefan ; Kuchler, Uwe . In: Papers. RePEc:arx:papers:1907.05142.

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2019Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (2019). Fabozzi, Frank J ; Rache, Svetlozar T ; Hu, Yuan. In: Papers. RePEc:arx:papers:1908.05419.

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2019A general framework for pricing Asian options under stochastic volatility on parallel architectures. (2019). Corsaro, Stefania ; Marino, Zelda ; Marazzina, Daniele ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1082-1095.

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2018The behavioral implications of the bilateral gamma process. (2018). Xie, Haibin ; Lu, Zudi ; Wang, Shouyang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:259-264.

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2018GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

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2019Lévy CARMA models for shocks in mortality. (2019). Rroji, Edit ; Mercuri, Lorenzo ; Hitaj, Asmerilda. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00248-9.

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2017GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander. In: Economics Working Paper Series. RePEc:usg:econwp:2017:02.

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Works by Lorenzo Mercuri:


YearTitleTypeCited
2014Option Pricing in a Dynamic Variance-Gamma Model In: Papers.
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paper2
2014Mixed Tempered Stable distribution In: Papers.
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paper2
2015Mixed tempered stable distribution.(2015) In: Quantitative Finance.
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This paper has another version. Agregated cites: 2
article
2014Parametric Risk Parity In: Papers.
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paper0
2016Multivariate Mixed Tempered Stable Distribution In: Papers.
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paper1
2015Portfolio selection with independent component analysis In: Finance Research Letters.
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article2
2008Option pricing in a Garch model with tempered stable innovations In: Finance Research Letters.
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article11
2012Approximation of the variance gamma model with a finite mixture of normals In: Statistics & Probability Letters.
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article1
2017COGARCH(p, q): Simulation and Inference with the yuima Package In: Journal of Statistical Software.
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article0
2013Portfolio allocation using multivariate variance gamma models In: Financial Markets and Portfolio Management.
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article3
2018Option pricing in an exponential MixedTS Lévy process In: Annals of Operations Research.
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article1
2018Risk parity for Mixed Tempered Stable distributed sources of risk In: Annals of Operations Research.
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article1
2014Option pricing in a conditional Bilateral Gamma model In: Central European Journal of Operations Research.
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article3
2015Implementation of Lévy CARMA model in Yuima package In: Computational Statistics.
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article1
2011PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2

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