Riccardo Brignone
Forschungsinteressen
- Derivatives pricing
- Term Structure of Interest Rates
- Financial Econometrics
Publikationen
- Brignone R.Moments of integrated exponential Lévy processes and applications to Asian options pricing (2022)Quantitative Finance, forthcoming
- Brignone R., Gerhart C. and Lütkebohmert E.
Arbitrage-free Nelson-Siegel model for multiple yield curves (2022)Mathematics and Financial Economics 16 (2), 239-266 - Bernis G., Brignone R., Scotti S. and Sgarra C. A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (2021) Mathematics and Financial Economics 15 (4), 747 - 773
- Brignone R., Fusai G. and Kyriakou I. 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
Research Assistant Position in Quantitative Finance