Mercuri Lorenzo

Associate Professor
SSD
SECS-S/06 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES
Competition sector
13/D4 - MATHEMATICAL METHODS OF ECONOMICS, FINANCE AND ACTUARIAL SCIENCES

Contacts

Workplace

Via Conservatorio, 7
20122 MILANO (MI)

Additional phone numbers
02 50321555
University email address
Office hours
Tuesday from 2.30 p.m. to 5.30 p.m.
Office
Microsoft office Teams (https://work.unimi.it/servizi/servizi_tec/1536.htm)
Teaching - Programme courses

Postgraduate programmes

A.Y. 2020/2021
1st level vocational master
A.Y. 2018/2019
2nd level vocational master
Research

Publications

Publications
  • On Properties of the MixedTS Distribution and Its Multivariate Extension / A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji. - In: INTERNATIONAL STATISTICAL REVIEW. - ISSN 0306-7734. - 86:3(2018 Dec), pp. 512-540.
  • Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming / G. Consigli, V. Moriggia, S. Vitali, L. Mercuri. - In: COMPUTATIONAL MANAGEMENT SCIENCE. - ISSN 1619-697X. - :15(2018 Jun), pp. 599-633.
  • Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization / A. Hitaj, L. Mercuri, E. Rroji. - In: COMPUTATIONAL MANAGEMENT SCIENCE. - ISSN 1619-697X. - (2018 Apr 23). [Epub ahead of print]
  • Implicit expectiles and measures of implied volatility / F. Bellini, L. Mercuri, E. Rroji. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - (2018 Apr), pp. 1-14.
  • VIX computation based on affine stochastic volatility models in discrete time / A. Hitaj, L. Mercuri, R. Edit (INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE). - In: Handbook of Recent Advances in Commodity and Financial Modeling : Quantitative Methods in Banking, Finance, Insurance, Energy and Commodity Markets / [a cura di] G. Consigli, S. Stefani, G. Zambruno. - Prima edizione. - [s.l] : Springer, 2018. - ISBN 9783319613185. - pp. 141-164