MANCINI, Cecilia
MANCINI, Cecilia
DIPARTIMENTO DI SCIENZE ECONOMICHE
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Risultati 1 - 16 di 16 (tempo di esecuzione: 0.014 secondi).
Academic research on Quantitative Finance in Italy today
2022-01-01 Mancini, Cecilia
An elementary proof of the FTAP, in a finite and multi-period model without numeraire
2025-01-01 Mancini, Cecilia
Drift Burst test statistic in a pure jump semimartingale model
2021-01-01 Mancini, Cecilia
Filtering Out Infinite Activity Jumps Using Uniform Thresholding, Under Conditional Mean Square Error
2025-01-01 Figueroa-Lopez, J. E.; Mancini, C.
Jump detection in financial asset prices that exhibit U-shape volatility
2025-01-01 Mancini, Cecilia
QUADERNO DIMAD on line: Are the Brownian motion and the Poisson process independent?
2002-01-01 Mancini, C.
QUADERNO DIMAD on line: Statistics of a Poisson-Gaussian process
2003-01-01 Mancini, C.
RAPPORTO DI STAGE: Il modello CIR trivariato
1995-01-01 Mancini, C.
Risk that an observed cluster of price jumps has not yet exhausted: performance of an estimate on simulated data
2021-01-01 Mancini, Cecilia
TESI DI DOTTORATO: A jump-diffusion version of the CIR bivariate model
1999-01-01 Mancini, C.
TESI DI LAUREA: Modello per un mercato finanziario esente da arbitraggio: esistenza di una legge equivalente che rende il processo stocastico dei prezzi una martingala
1993-01-01 Mancini, C.
Warnings About Future Jumps: Properties of the Exponential Hawkes Model
2024-01-01 Foschi, Rachele; Lilla, Francesca; Mancini, Cecilia
Warnings about future jumps: properties of the exponential Hawkes model
2019-01-01 Mancini, Cecilia; Foschi, Rachele; Lilla, Francesca
WORKING PAPER su ARXIV.org: Diffusion covariation and co-jumps in bidimensional asset price processes with stochastic volatility and infinite activity Lévy jumps
2007-01-01 Gobbi, F.; Mancini, C.
WORKING PAPER: Optimal threshold for the estimator of integrated variance
2016-01-01 Mancini, C.
Zero Sigma
2020-01-01 Mancini, Cecilia; Renò, Roberto