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Riccardo Brignone

Research Assistant of the Department of Quantitative Finance

   
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

 

Research Interests

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

 

Publications

  • Bernis G., Brignone R., Scotti S. and Sgarra C.                          
    A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (2021)                  
    Mathematics and Financial Economics (Forthcoming)
  • Brignone R., Fusai G. and I. Kyriakou                                                                           
    Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models (2021)                                                     
    Insurance: Mathematics and Economics 96, 232-247                                             
  • Brignone R. and Sgarra C.                                                                                               
    Asian options pricing in Hawkes-type jump-diffusion models  (2020)                             
    Annals of Finance 16 (1), 101-119
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