An empirical comparison of alternative credit default swap pricing models

von Bianchi, Michele Leonardo
Veröffentlicht 2012

Are the log-returns of Italian open-end mutual funds normally distributed? : a risk assessment perspective

von Bianchi, Michele Leonardo
Veröffentlicht 2014

Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective

von Bianchi, Michele Leonardo
Veröffentlicht in The journal of asset management (2015)

Italian real estate investment funds : market structure and risk measurement

von Bianchi, Michele Leonardo
Veröffentlicht 2012

I fondi comuni aperti in Italia : performance delle società di gestione del risparmio

von Bianchi, Michele Leonardo
Veröffentlicht 2011

Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform

von Tassinari, Gian Luca
Veröffentlicht in International journal of theoretical and applied finance (2014)

Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

von Bianchi, Michele Leonardo
Veröffentlicht in Computational economics (2015)

Stochastic alpha-beta-rho hedging for foreign exchange options : is it worth the effort?

von Yang, Yifan
Veröffentlicht in The journal of derivatives (2015)

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

von Yang, Yifan
Veröffentlicht in Journal of financial engineering (2015)

Non-Gaussian models for CoVaR estimation

von Bianchi, Michele Leonardo
Veröffentlicht in International journal of forecasting (2023)

Riding with the four horsemen and the multivariate normal tempered stable model

von Bianchi, Michele Leonardo
Veröffentlicht in International journal of theoretical and applied finance (2016)

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

von Bianchi, Michele Leonardo
Veröffentlicht in Computational economics (2018)

Tempered stable Ornstein-Uhlenbeck processes : a practical view

von Bianchi, Michele Leonardo
Veröffentlicht 2013

L' andamento del mercato immobiliare italiano e i riflessi sul sistema finanziario

Veröffentlicht 2009

A modified tempered stable distribution with volatility clustering

Veröffentlicht in New developments in financial modelling (2008)

Financial models with Lévy processes and volatility clustering

Veröffentlicht 2011

Financial market models with Lévy processes and time-varying volatility

Veröffentlicht in Journal of banking & finance (2008)

Tempered stable and tempered infinitely divisible GARCH models

Veröffentlicht in Journal of banking & finance (2010)

A new tempered stable distribution and its application to finance

Veröffentlicht in Risk assessment (2008)

Multi-tail generalized elliptical distributions for asset returns

Veröffentlicht in The econometrics journal (2009)