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Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
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Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J.; Leccadito, Arturo; Tunaru, Radu S. - In: Journal of economic dynamics & control 38 (2014), pp. 125-141
Persistent link: https://www.econbiz.de/10010387852
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Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216
Persistent link: https://www.econbiz.de/10010510949
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CMCDS premia implicit in the term structure of corporate CDS spreads
Leccadito, Arturo (contributor); Tunaru, Radu (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003806872
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The fractional Merton model : a new approach to credit risk pricing
Ratta, Lucio Della (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003806877
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Trading strategies with implied forward credit default swap spreads
Leccadito, Arturo; Tunaru, Radu; Urga, Giovanni - In: Journal of banking & finance 58 (2015), pp. 361-375
Persistent link: https://www.econbiz.de/10011544021
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Value at risk and expected shortfall improved calculation based on the power transformation method
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: The journal of derivatives : the official publication … 22 (2014) 2, pp. 67-81
Persistent link: https://www.econbiz.de/10011311416
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True versus spurious long memory : some theoretical results and a Monte Carlo comparison
Leccadito, Arturo; Rachedi, Omar; Urga, Giovanni - In: Econometric reviews 34 (2015) 1/5, pp. 452-479
Persistent link: https://www.econbiz.de/10011373268
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Assessing contagion risk from energy and non-energy commodity markets
Algieri, Bernardina; Leccadito, Arturo - In: Energy economics 62 (2017), pp. 312-322
Persistent link: https://www.econbiz.de/10011748149
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Pricing and hedging basket options with exact moment matching
Leccadito, Arturo; Paletta, Tommaso; Tunaru, Radu - In: Insurance / Mathematics & economics 69 (2016), pp. 59-69
Persistent link: https://www.econbiz.de/10011530924