Michele Leonardo Bianchi
Michele Leonardo Bianchi
Verified email at bancaditalia.it - Homepage
TitleCited byYear
Financial models with LÚvy processes and volatility clustering
ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi
John Wiley & Sons, 2011
1502011
Financial market models with LÚvy processes and time-varying volatility
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 32 (7), 1363-1378, 2008
1072008
Tempered stable and tempered infinitely divisible GARCH models
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 34 (9), 2096-2109, 2010
902010
The modified tempered stable distribution, GARCH-models and option pricing
YS Kim, ST Rachev, DM Chung, ML Bianchi
Probability and Mathematical statistics 29 (1), 91-117, 2009
852009
Time series analysis for financial market meltdowns
YS Kim, ST Rachev, ML Bianchi, I Mitov, FJ Fabozzi
Journal of Banking & Finance 35 (8), 1879-1891, 2011
812011
Computing VaR and AVaR in infinitely divisible distributions
YS Kim, S Rachev, ML Bianchi, FJ Fabozzi
Yale ICF Working Paper, 2009
762009
Tempered infinitely divisible distributions and processes
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Theory of Probability & Its Applications 55 (1), 2-26, 2011
542011
Tempered stable distributions and processes in finance: numerical analysis
ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi
Mathematical and statistical methods for actuarial sciences and finance, 33-42, 2010
452010
A new tempered stable distribution and its application to finance
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Risk Assessment, 77-109, 2009
422009
The performance of the Italian housing market and its effects on the financial system
Banca d'Italia, 2009
26*2009
A modified tempered stable distribution with volatility clustering
YS Kim, ST Rachev, DM Chung, ML Bianchi
New Developments in Financial Modelling 344, 344-365, 2008
192008
Multi‐tail generalized elliptical distributions for asset returns
S Kring, ST Rachev, M H÷chst÷tter, FJ Fabozzi, ML Bianchi
The Econometrics Journal 12 (2), 272-291, 2009
172009
Tempered stable Ornstein–Uhlenbeck processes: A practical view
ML Bianchi, ST Rachev, FJ Fabozzi
Communications in Statistics-Simulation and Computation 46 (1), 423-445, 2017
132017
Riding with the four horsemen and the multivariate normal tempered stable model
ML BIANCHI, GL TASSINARI, FJ FABOZZI
International Journal of Theoretical and Applied Finance 19 (4), 2016
122016
Investigating the performance of non-Gaussian stochastic intensity models in the calibration of credit default swap spreads
ML Bianchi, FJ Fabozzi
Computational Economics 46 (2), 243-273, 2015
11*2015
Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform
GL Tassinari, ML Bianchi
International Journal of Theoretical and Applied Finance 17 (4), 2014
102014
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
ML Bianchi, ST Rachev, FJ Fabozzi
Computational Economics 51 (3), 339-378, 2018
62018
Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective
ML Bianchi
Journal of Asset Management 16 (7), 437-449, 2015
62015
Discussion of “On simulation and properties of the stable law” by L. Devroye and L. James
ML Bianchi, FJ Fabozzi
Statistical methods & applications 23 (3), 353-357, 2014
6*2014
Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform
ML Bianchi, GL Tassinari
arXiv preprint arXiv:1805.05584, 2018
32018
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