Dr. Riccardo Brignone

Research Interests

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

Publications

• Exact Simulation of the Multifactor Ornstein-Uhlenbeck Driven Stochastic Volatility Model, SIAM Journal on Scientific Computing, (2024), 46, A1441-A1460
• Exact simulation of the Hull and White stochastic volatility model, with L. Gonzato, Journal of Economic Dynamics and Control (2024), 163, 104861
• Hawkes Processes in Energy Markets: Modelling, Estimation and Derivatives Pricing, with L. Gonzato and C. Sgarra. Quantitative Energy Finance: Recent Trends and Developments (2024), 41-72
• Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants, with L. Gonzato and E. Lütkebohmert, Journal of Banking and Finance (2023), 148, 106745
• 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