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Dive into the research topics where ANDREA PERCHIAZZO is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Multivariate portfolio choice via quantiles
Bernard, C., PERCHIAZZO, A. & Vanduffel, S., 2026, In: Quantitative Finance. p. 1-25 25 p.Research output: Contribution to journal › Article › peer-review
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Parameter Stability in Yield Curve Fitting
Mercuri, L., PERCHIAZZO, A., Rroji, E. & Stefani, I., 2026, New Perspectives in Mathematical and Statistical Methods for Actuarial Sciences and Finance. SPRINGER, p. 179-189 11 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
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Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets
Mercuri, L., PERCHIAZZO, A. & Rroji, E., 2025, In: Finance Research Letters. 73, p. 1-9 9 p.Research output: Contribution to journal › Article › peer-review
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Option pricing with a compound CARMA(p, q)-Hawkes
Mercuri, L., PERCHIAZZO, A. & Rroji, E., 2025, In: Quantitative Finance. p. 1-26 26 p.Research output: Contribution to journal › Article › peer-review
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A Hawkes model with CARMA(p,q) intensity
Mercuri, L., PERCHIAZZO, A. & Rroji, E., 2024, In: INSURANCE MATHEMATICS & ECONOMICS. 116, p. 1-26 26 p.Research output: Contribution to journal › Article › peer-review
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