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Patrizia Semeraro

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This is information that was supplied by Patrizia Semeraro in registering through RePEc. If you are Patrizia Semeraro , 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: Patrizia
Middle Name:
Last Name: Semeraro
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RePEc Short-ID: pse441

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Affiliation

Dipartimento di Architettura e Design, Politecnico di Torino
Homepage: http://www.polito.it
Location: Torino

Works

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Working papers

  1. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto.
  2. Elisa Luciano & Patrizia Semeraro, 2008. "A Generalized Normal Mean Variance Mixture for Return Processes in Finance," Carlo Alberto Notebooks 97, Collegio Carlo Alberto, revised 2009.
  3. Elisa Luciano & Patrizia Semeraro, 2008. "Multivariate Variance Gamma and Gaussian dependence: a study with copulas," Carlo Alberto Notebooks 96, Collegio Carlo Alberto.
  4. Elisa Luciano & Patrizia Semeraro, 2007. "Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators," Carlo Alberto Notebooks 42, Collegio Carlo Alberto.
  5. Elisa Luciano & Patrizia Semeraro, 2007. "Generalized Normal Mean Variance Mixture and Subordinated Brownian Motion," ICER Working Papers - Applied Mathematics Series 42-2007, ICER - International Centre for Economic Research.
  6. Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2007. "Single and joint default in a structural model with purely discontinuous assets," Carlo Alberto Notebooks 41, Collegio Carlo Alberto.
  7. Patrizia Semeraro, 2006. "A Multivariate Time-Changed Lévy Model for Financial Applications," ICER Working Papers - Applied Mathematics Series 10-2006, ICER - International Centre for Economic Research.
  8. Luigi Montrucchio & Patrizia Semeraro, 2006. "Refinement Derivatives and Values of Games," Carlo Alberto Notebooks 9, Collegio Carlo Alberto.

Articles

  1. Filippo Fiorani & Elisa Luciano & Patrizia Semeraro, 2010. "Single and joint default in a structural model with purely discontinuous asset prices," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 249-263.
  2. Elisa Luciano & Patrizia Semeraro, 2010. "A Generalized Normal Mean-Variance Mixture For Return Processes In Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 415-440.
  3. Patrizia Semeraro, 2008. "A Multivariate Variance Gamma Model For Financial Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 1-18.
  4. Franco Pellerey & Patrizia Semeraro, 2005. "A Note on the Portfolio Selection Problem," Theory and Decision, Springer, vol. 59(4), pages 295-306, December.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2009-02-14
  2. NEP-ETS: Econometric Time Series (1) 2013-11-16
  3. NEP-GTH: Game Theory (1) 2006-09-30
  4. NEP-RMG: Risk Management (1) 2007-04-09

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