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
Wednesday from 11.00 a.m. to 12.30 a.m. and from 2.00 p.m. to 3.30 p.m.
Office
Microsoft office Teams (https://work.unimi.it/servizi/servizi_tec/1536.htm)
Teaching - Programme courses

Postgraduate programmes

A.Y. 2021/2022
1st level vocational master
A.Y. 2020/2021
1st level vocational master
A.Y. 2018/2019
2nd level vocational master
Research

Publications

Publications
  • On the dependence structure between S&P500, VIX and implicit Interexpectile Differences / F. Bellini, L. Mercuri, E. Rroji. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - 20:11(2020), pp. 1839-1848.
  • 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.