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Michele Azzone
Michele Azzone
Politecnico di Milano, Department of Mathematics
Email verificata su mail.polimi.it
Titolo
Citata da
Citata da
Anno
A machine learning model for lapse prediction in life insurance contracts
M Azzone, E Barucci, GG Moncayo, D Marazzina
Expert Systems with Applications 191, 116261, 2022
332022
Additive normal tempered stable processes for equity derivatives and power-law scaling
M Azzone, R Baviera
Quantitative Finance 22 (3), 501-518, 2022
152022
Synthetic forwards and cost of funding in the equity derivative market
M Azzone, R Baviera
Finance Research Letters 41, 101841, 2021
112021
A fast Monte Carlo scheme for additive processes and option pricing
M Azzone, R Baviera
Computational Management Science 20 (1), 31, 2023
92023
Evaluation of sight deposits and central bank digital currency
M Azzone, E Barucci
Journal of International Financial Markets, Institutions and Money 88, 101841, 2023
62023
Short-time implied volatility of additive normal tempered stable processes
M Azzone, R Baviera
Annals of operations research 336 (1), 93-126, 2024
52024
Neural network middle-term probabilistic forecasting of daily power consumption
M Azzone, R Baviera
Journal of Energy Markets 14 (1), 1-26, 2021
52021
Explicit option pricing with additive processes
M Azzone, L Torricelli
Available at SSRN 4453106, 2023
22023
On the implied volatility skew outside the at-the-money point
M Azzone, L Torricelli
Quantitative Finance, 1-11, 2024
12024
Asset management with an ESG mandate
M Azzone, E Barucci, D Stocco
arXiv preprint arXiv:2403.11622, 2024
12024
Can we hedge carbon risk? A network embedding approach
M Azzone, MC Pocelli, D Stocco
arXiv preprint arXiv:2311.12450, 2023
12023
Aim, Focus, Shoot. The Choice of Appropriate and Effective Macroprudential Instruments
M Azzone, M Pirovano
ECB Working Paper, 2024
2024
The puzzle of Carbon Allowance spread
M Azzone, R Baviera, P Manzoni
arXiv preprint arXiv:2405.12982, 2024
2024
Is (Independent) Subordination Relevant in Equity Derivatives?
M Azzone, R Baviera
Applied Stochastic Models in Business and Industry, 2024
2024
Is (independent) subordination relevant?
M Azzone, R Baviera
arXiv preprint arXiv:2307.08628, 2023
2023
Additive normal tempered stable process: a new way to model the implied volatility surface
M Azzone
2021
Additive process for equity index derivatives
M AZZONE
Politecnico di Milano, 2017
2017
Il sistema al momento non può eseguire l'operazione. Riprova più tardi.
Articoli 1–17