Papers

Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. Domenico De Giovanni , Arturo Leccadito, Debora Loccisano. Annals of Operations Research (2022).

DOI Journal PDF

Predictive Identification Robust Confidence Sets with Application to Tail Risk Measures. Lynda Khalaf , Arturo Leccadito, Debora Loccisano. Submitted (2024).