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Dr. Riccardo Brignone

Research Assistant of the Department of Quantitative Finance

   
Dr. Riccardo Brignone

 
Department of Quantitative Finance
Faculty of Economics and Behavioural Science
Albert-Ludwigs-Universität Freiburg
Rempartstraße 16
79098 Freiburg i. Br.
(Germany)

 

 

Office Hours / Contact

Tel.: +49 761 203 2386

E-Mail: riccardo.brignone@finance.uni-freiburg.de

Room: 03-21

Office hours by appointment

 

Teaching

  • Summer Term 2023: Derivatives Princing, Lecture + Tutorial
  • Winter Term 2022/23: Portfolio Management, Tutorial
  • Summer Term 2022: Principles of Finance, Tutorial
  • Winter Term 2021/22:Portfolio Management, Tutorial
  • Winter Term 2021/22: Futures and Options, Tutorial
  • Summer Term 2020: Principles of Finance, Additional Tutorial

 

Research Interests

  • Derivatives pricing
  • Term Structure of Interest Rates
  • Financial Econometrics

 

Publications

  • Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using RiskNeutral Cumulants, with L. Gonzato and E. Lütkebohmert, Journal of Banking and Finance, Forthcoming
  • Unified moment-based modelling of integrated stochastic processes, with I. Kyriakou and G. Fusai, Operations Research, Forthcoming
  • Commodity Asian Option Pricing and Simulation in a 4-Factor Model with Jump Clusters, with L. Gonzato and C. Sgarra, Annals of Operations Research, Forthcoming
  • Moments of integrated exponential Lévy processes and applications to Asian options pricing, Quantitative Finance (2022), 22, 1717-1729
  • Arbitrage-Free Nelson-Siegel Model for Multiple Yield Curves, with C. Gerhart and E. Lütkebohmert, Mathematics and Financial Economics (2022), 15, 239-266
  • A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process, with G. Bernis, S. Scotti and C. Sgarra, Mathematics and Financial Economics (2021) 15, 747-773
  • Moment-matching approximations for stochastics sums in non-Gaussian Ornstein-Uhlenbeck models, with I. Kyriakou and G. Fusai, Insurance: Mathematics and Economics (2021), 96, 232-247
  • Asian options pricing in Hawkes-type jump-diffusion models, with C. Sgarra, Annals of Finance (2020), 16, 101-119

 
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