Mercuri Lorenzo
Associate Professor
Scientific-Disciplinary Sector
STAT-04/A - Mathematical Methods for Economy, Finance and Actuarial Sciences
Scientific-Disciplinary Group/Competition Sector
13/STAT-04 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
Research fields and competencies
Contacts
Workplace
Additional phone numbers
University email address
Office hours
Thursday 1.00 - 4.00 pm. Send me an email to schedule a meeting
Reception office
room 33 III floor and Teams
Teaching - Programme courses
Bachelors and masters
A.Y. 2022/2023
A.Y. 2021/2022
A.Y. 2020/2021
A.Y. 2019/2020
Postgraduate programmes
A.Y. 2023/2024
1st level vocational master
- Economic and Financial Data Science (Data Science for Economics, Businesses and Finance)
A.Y. 2022/2023
1st level vocational master
- Economic and Financial Data Science (Data Science for Economics, Businesses and Finance)
Research
Publications
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Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets / L. Mercuri, A. Perchiazzo, E. Rroji. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6131. - 73:(2025 Mar), pp. 106563.1-106563.9. [10.1016/j.frl.2024.106563]
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A Hawkes model with CARMA(p,q) intensity / L. Mercuri, A. Perchiazzo, E. Rroji. - In: INSURANCE MATHEMATICS & ECONOMICS. - ISSN 0167-6687. - 116:(2024), pp. 1-26. [Epub ahead of print] [10.1016/j.insmatheco.2024.01.007]
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Quasi-likelihood analysis for Student-Lévy regression / H. Masuda, L. Mercuri, Y. Uehara. - In: STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES. - ISSN 1387-0874. - (2024), pp. 1-34. [10.1007/s11203-024-09317-2]
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An efficient unified approach for spread option pricing in a copula market model / E. Berton, L. Mercuri. - In: ANNALS OF OPERATIONS RESEARCH. - ISSN 0254-5330. - (2023), pp. 1-23. [Epub ahead of print] [10.1007/s10479-023-05549-2]
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Noise inference for ergodic Lévy driven SDE / H. Masuda, L. Mercuri, Y. Uehara. - In: ELECTRONIC JOURNAL OF STATISTICS. - ISSN 1935-7524. - 16:1(2022 Apr), pp. 2432-2474. [10.1214/22-EJS2006]