Patrizia Semeraro

Politecnico of Turin

Torino, Turin - Piedmont 10100

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

460

SSRN CITATIONS

3

CROSSREF CITATIONS

7

Scholarly Papers (8)

1.

A Multivariate Time-Changed LéVy Model for Financial Applications

ICER Working Paper No. 10/2006
Number of pages: 27 Posted: 24 Sep 2006
Patrizia Semeraro
Politecnico of Turin
Downloads 197 (199,889)

Abstract:

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Lévy processes, multivariate subordinators, dependence, multivariate asset

2.

Multivariate Marked Poisson Processes and Market Related Multidimensional Information Flows

Number of pages: 21 Posted: 28 Dec 2016 Last Revised: 18 Feb 2017
Petar Jevtic, Marina Marena and Patrizia Semeraro
McMaster University - Department of Mathematics and Statistics, University of Eastern Piedmont and Politecnico of Turin
Downloads 64 (440,045)

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marked Poisson processes, subordinated Lévy processes, multivariate Poisson random measure, multivariate subordinators, multivariate asset modelling, multivariate variance gamma process

3.

A Generalized Normal Mean Variance Mixture for Return Processes in Finance

Number of pages: 36 Posted: 15 Jun 2014
Elisa Luciano and Patrizia Semeraro
Collegio Carlo Alberto and Politecnico of Turin
Downloads 53 (480,854)
Citation 1

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Multivariate normal mean variance mixtures, multivariate generalized hyperbolic distributions, Lévy processes, multivariate subordinators

4.

Dependence Calibration and Portfolio Fit with Factor-based Time Changes

Carlo Alberto Notebooks No. 307, October 2013
Number of pages: 35 Posted: 14 Jun 2014
Elisa Luciano, Marina Marena and Patrizia Semeraro
Collegio Carlo Alberto, University of Eastern Piedmont and Politecnico of Turin
Downloads 53 (480,854)
Citation 4

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Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset modelling, multivariate time-changed processes, factor-based time changes

5.

Extending Time-Changed Lévy Asset Models Through Multivariate Subordinators

Collegio Carlo Alberto Working Paper No. 42
Number of pages: 35 Posted: 14 Jun 2014
Elisa Luciano and Patrizia Semeraro
Collegio Carlo Alberto and Politecnico of Turin
Downloads 53 (480,854)
Citation 5

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Lévy processes, multivariate subordinators, dependence (association, correlation), multivariate asset modelling, multivariate time changed processes

6.

Model Risk in Credit Risk

Number of pages: 26 Posted: 13 Apr 2020
Roberto Fontana, Elisa Luciano and Patrizia Semeraro
affiliation not provided to SSRN, Collegio Carlo Alberto and Politecnico of Turin
Downloads 40 (538,922)

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Exchangeable Bernoulli distribution; risk measures; model risk; credit risk; default risk

7.

Pricing Multivariate Barrier Reverse Convertibles with Factor-Based Subordinators

Journal of Computational Finance, Vol. 21, No. 5, 2018
Number of pages: 34 Posted: 07 May 2018
Marina Marena, Andrea Romeo and Patrizia Semeraro
University of Torino - Department of Economics and Statistics, University of Turin - Collegio Carlo Alberto and Politecnico of Turin
Downloads 0 (831,206)
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Abstract:

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Lévy processes, multivariate subordinators, multivariate asset modeling, multivariate variance gamma (VG) process, multivariate normal inverse Gaussian (NIG) process, multibarrier reverse convertibles (MBRCs).

8.

A Multivariate Variance Gamma Model for Financial Applications

International Journal of Theoretical and Applied Finance, Vol. 11, Issue 1, pp. 1-18, 2008
Posted: 01 Dec 2009
Patrizia Semeraro
Politecnico of Turin

Abstract:

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Lévy processes, multivariate subordinators, dependence, multivariate asset modelling