SCOTTI, SIMONE Statistiche
SCOTTI, SIMONE
DIPARTIMENTO DI ECONOMIA E MANAGEMENT
The rough Hawkes Heston stochastic volatility model
2024-01-01 Scotti, Simone
A dam management problem with energy production as an optimal switching problem
2023-01-01 Chevalier, Etienne; Di Girolami, Cristina; Gaïgi, M'Hamed; Giovannini, Elisa; Scotti, Simone
Interest Rates Term Structure Models Driven by Hawkes Processes
2023-01-01 Bernis, Guillaume; Garcin, Matthieu; Scotti, Simone; Sgarra, Carlo
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
2022-01-01 Raffaelli, I.; Scotti, S.; Toscano, G.
Optimal harvesting under marine reserves and uncertain environment
2022-01-01 Gaigi, M; Ly Vath, V; Scotti, S
Stochastic Evolution of Distributions and Functional Bollinger Bands
2022-01-01 Bernis, G; Brunel, N; Kornprobst, A; Scotti, S
A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process
2021-01-01 Bernis, G; Brignone, R; Scotti, S; Sgarra, C
The Alpha-Heston stochastic volatility model
2021-01-01 Jiao, Y; Ma, C; Scotti, S; Zhou, C
Clustering Effects via Hawkes Processes
2020-01-01 Bernis, G; Scotti, S
Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data
2020-01-01 Mancino, M; Scotti, S; Toscano, G
A branching process approach to power markets
2019-01-01 Jiao, Y; Ma, C; Scotti, S; Sgarra, C
Sensitivity analysis for marked Hawkes processes: application to CLO pricing
2018-01-01 Bernis, G; Sahli, K; Scotti, S
Alpha-CIR model with branching processes in sovereign interest rate modeling
2017-01-01 Jiao, Y; Ma, C; Scotti, S
Alternative to beta coefficients in the context of diffusions
2017-01-01 Bernis, G; Scotti, S
Optimal investment in markets with over and under-reaction to Information
2017-01-01 Callegaro, G; Gaigi, M; Scotti, S; Sgarra, C
Optimal execution cost for liquidation through a limit order market
2016-01-01 Chevalier, E; LY VATH, V; Scotti, S; Roch, A
Optimal credit allocation under regime uncertainty with sensitivity analysis
2015-01-01 Bernis, G; Carassus, L; Docq, G; Scotti, S
Optimal exit strategies for investment projects
2015-01-01 Chevalier, E; LY VATH, V; Roch, A; Scotti, S
Trend detection under erroneous observations: application to quantitative financial strategies
2015-01-01 Bernis, G; Scotti, S
Uncertainty and the politics of employment protection
2015-01-01 Vindigni, A; Scotti, S; Tealdi, C