RROJI EDIT

Role

Associate professor

Academic disciplines

Mathematical Methods for Economy, Finance and Actuarial Sciences (STAT-04/A)

Scientific-Disciplinary Group:

MATHEMATICAL METHODS FOR ECONOMY, FINANCE AND ACTUARIAL SCIENCES (13/STAT-04)

Works in

Office phone

Room:

Publications

Mercuri, L., Perchiazzo, A., Rroji, E. (2025). Modelling jumps with CARMA(p,q)-Hawkes: An application to corporate bond markets. FINANCE RESEARCH LETTERS, 73(March 2025) [10.1016/j.frl.2024.106563]. Detail
Mercuri, L., Perchiazzo, A., Rroji, E. (2024). A Hawkes model with CARMA(p,q) intensity. INSURANCE MATHEMATICS & ECONOMICS, 116(May 2024), 1-26 [10.1016/j.insmatheco.2024.01.007]. Detail
Batoon, A., Rroji, E. (2024). Analyzing the Impact of Carbon Risk on Firms’ Creditworthiness in the Context of Rising Interest Rates. RISKS, 12(1) [10.3390/risks12010016]. Detail
Barucci, E., Marazzina, D., Rroji, E. (2023). An investigation of the Volatility Adjustment. DECISIONS IN ECONOMICS AND FINANCE [10.1007/s10203-023-00416-y]. Detail
Bianchi, F., Mercuri, L., Rroji, E. (2022). Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach. FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT, 36(1), 57-85 [10.1007/s11408-021-00387-3]. Detail

PNRR per la Missione 4, componente 2 Investimento 1.1- Avviso 104/2022 | The effects of climate change in the evaluation of financial instruments

Year: 2022

Call: Bando PRIN 2022

Grantors: MINISTERO DELL'UNIVERSITA' E DELLA RICERCA (MUR)

Infinitely divisible distributions for portfolio allocation

Year: 2018

Call: GNAMPA 2018

Grantors: I.N.D.A.M. "FRANCESCO SEVERI" - ISTITUTO NAZIONALE DI ALTA MATEMATICA

Premio Giovani Talenti 2018, Università Milano Bicocca con il patrocinio dell'Accademia Nazionale dei Lincei, 2018