LECCADITO, Arturo
LECCADITO, Arturo
Dipartimento di Economia, Statistica e Finanza "Giovanni Anania"- DESF
A multinomial approach for option pricing under regime-switching jump-diffusion models
2012-01-01 Costabile, Massimo; Leccadito, Arturo; Massabò, Ivar; Russo, Emilio
A new method for generating approximation algorithms for financial mathematics applications
2012-01-01 Fabozzi, F. J.; Leccadito, Arturo; Tunaru, R.
A novel robust method for estimating the covariance matrix of financial returns with applications to risk management
2024-01-01 Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro
A reduced lattice model for option pricing under regime-switching
2014-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar; Russo, Emilio
A reduced lattice model for option pricing under regime-switching
2010-01-01 Costabile, Massimo; Leccadito, Arturo; Massabò, Ivar; Russo, Emilio
A regime Switching Ohlson model
2015-01-01 Leccadito, Arturo; Veltri, Stefania
A Time-Varying Gerber Statistic: Application of a Novel Correlation Metric to Commodity Price Co-Movements
2021-01-01 Algieri, Bernardina; Leccadito, Arturo; Toscano, Pietro
Ask CARL: Forecasting Tail Probability for Energy Commodities
2019-01-01 Algieri, Bernardina; Leccadito, Arturo
Assessing contagion risk from energy and non-energy commodity markets
2017-01-01 Algieri, Bernardina; Leccadito, Arturo
CARL and His POT: Measuring Risks in Commodity Markets
2020-01-01 Algieri, Bernardina; Leccadito, Arturo
Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
2024-01-01 De Giovanni, Domenico; Leccadito, Arturo; Loccisano, Debora
Combining density forecast accuracy tests: an application to agricultural, energy, and metal commodities
In corso di stampa Algieri, Bernardina; Leccadito, Arturo; Sicoli, Danilo; Tunaru, Diana
Compound option pricing under stochastic volatility
2016-01-01 Leccadito, Arturo; Russo, Emilio
Compound option pricing under stochastic volatility
2014-01-01 Leccadito, Arturo; Russo, Emilio
Computationally simple lattice methods for option and bond pricing
2009-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar
Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests
2014-01-01 Leccadito, Arturo; Boffelli, S; Urga, G.
Exploring Dependence Relationships between Bitcoin and Commodity returns: An assessment using the Gerber Cross-Correlation
2022-01-01 Lawuobahsumo, Kokulo K.; Algieri, Bernardina; Iania, Leonardo; Leccadito, Arturo
Extracting Market Information from Equity Options with Exponential Lévy Processes
2014-01-01 Fabozzi, F. J.; Leccadito, Arturo; Tunaru, R.
Extracting risk-neutral density information from options market prices
2012-01-01 Leccadito, Arturo; Tunaru, R. S.
Extreme Price Moves: An INGARCH Approach to Model Coexceedances in Commodity Markets
2021-01-01 Algieri, Bernardina; Leccadito, Arturo