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Simone Scotti
Simone Scotti
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Title
Cited by
Cited by
Year
Alpha-CIR model with branching processes in sovereign interest rate modeling
Y Jiao, C Ma, S Scotti
Finance and Stochastics 21 (3), 789-813, 2017
672017
A branching process approach to power markets
Y Jiao, C Ma, S Scotti, C Sgarra
Energy Economics 79, 144-156, 2019
412019
Uncertainty and the politics of employment protection
A Vindigni, S Scotti, C Tealdi
Journal of Labor Economics 33 (1), 209-267, 2015
342015
The Alpha‐Heston stochastic volatility model
Y Jiao, C Ma, S Scotti, C Zhou
Mathematical finance 31 (3), 943-978, 2021
332021
An optimal dividend and investment control problem under debt constraints
E Chevalier, VL Vath, S Scotti
SIAM Journal on Financial Mathematics 4 (1), 297-326, 2013
262013
A gamma ornstein–uhlenbeck model driven by a hawkes process
G Bernis, R Brignone, S Scotti, C Sgarra
Mathematics and Financial Economics 15 (4), 747-773, 2021
202021
Optimal investment in markets with over and under-reaction to information
G Callegaro, M Gaïgi, S Scotti, C Sgarra
Mathematics and Financial Economics 11, 299-322, 2017
202017
The rough Hawkes Heston stochastic volatility model
A Bondi, S Pulido, S Scotti
Mathematical Finance, 2022
142022
Optimal execution cost for liquidation through a limit order market
E Chevalier, VL Vath, S Scotti, A Roch
International Journal of Theoretical and Applied Finance 19 (01), 1650004, 2016
142016
Optimal exit strategies for investment projects
E Chevalier, VL Vath, A Roch, S Scotti
Journal of Mathematical Analysis and Applications 425 (2), 666-694, 2015
102015
Clustering effects via Hawkes processes
G Bernis, S Scotti
From Probability to Finance: Lecture Notes of BICMR Summer School on …, 2020
82020
Sensitivity analysis for marked Hawkes processes: application to CLO pricing
G Bernis, K Salhi, S Scotti
Mathematics and Financial Economics 12 (4), 541-559, 2018
82018
Alternative to beta coefficients in the context of diffusions
G Bernis, S Scotti
Quantitative Finance 17 (2), 275-288, 2017
82017
Optimal harvesting under marine reserves and uncertain environment
M Gaïgi, VL Vath, S Scotti
European Journal of Operational Research 301 (3), 1181-1194, 2022
72022
Applications de la Théorie des Erreurs par Formes de Dirichlet
S Scotti
École polytechnique, 2008
72008
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
I Raffaelli, S Scotti, G Toscano
Annals of Operations Research, 1-19, 2022
42022
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data
ME Mancino, S Scotti, G Toscano
Applied Mathematical Finance 27 (4), 288-316, 2020
42020
Bid-ask spread modelling, a perturbation approach
T Lim, VL Vath, JM Sahut, S Scotti
Seminar on Stochastic Analysis, Random Fields and Applications VII: Centro …, 2013
42013
Perturbative Approach on Financial Markets
S Scotti
arXiv preprint arXiv:0806.0287, 2008
42008
Errors Theory using Dirichlet Forms, Linear Partial Differential Equations and Wavelets
S Scotti
arXiv preprint arXiv:0708.1073, 2007
42007
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Articles 1–20