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Lorenzo Mercuri

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This is information that was supplied by Lorenzo Mercuri in registering through RePEc. If you are Lorenzo Mercuri , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Lorenzo
Middle Name:
Last Name: Mercuri
Suffix:

RePEc Short-ID: pme464

Email:
Homepage: http://www.unimi.it/chiedove/schedaPersonaXML.jsp?matricola=17819
Postal Address:
Phone:

Affiliation

Dipartimento di Economia, Management e Metodi Quantitativi (DEMM)
Università degli Studi di Milano
Location: Milano, Italy
Homepage: http://www.economia.unimi.it/
Email:
Phone: +39 02 503 16486
Fax: +39 02 503 16475
Postal: Via Conservatorio 7 - 20122 Milano
Handle: RePEc:edi:damilit (more details at EDIRC)

Works

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Working papers

  1. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.
  2. Edit Rroji & Lorenzo Mercuri, 2014. "Mixed Tempered Stable distribution," Papers 1405.7603, arXiv.org.

Articles

  1. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer, vol. 27(1), pages 65-99, March.
  2. Loregian, Angela & Mercuri, Lorenzo & Rroji, Edit, 2012. "Approximation of the variance gamma model with a finite mixture of normals," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 217-224.
  3. Mercuri Lorenzo, 2011. "Pricing Asian Options In Affine Garch Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 313-333.
  4. Mercuri, Lorenzo, 2008. "Option pricing in a Garch model with tempered stable innovations," Finance Research Letters, Elsevier, vol. 5(3), pages 172-182, September.

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