Sfoglia per Autore
Portfolio Selection With Subordinated Lévy Processes
2007-01-01 Staino, Alessandro; Ortobelli, S; Massabò, I.
A Comparison among Portfolio Selection Strategies with Subordinated Lévy Processes
2007-01-01 Staino, Alessandro; Ortobelli, S; Massabo', Ivar
Discrete Time Portfolio Selection with Lévy Processes
2007-01-01 Bertini, C; Ortobelli, S; Staino, Alessandro
Exotic options with Lévy processes: the Markovian approach
2011-01-01 Ortobelli, S. L.; Staino, Alessandro
Moment-matching method with monomial approach
2012-01-01 Staino, Alessandro; Consiglio, A.
A stochastic programming model for the optimal issuance of government bonds
2012-01-01 Consiglio, A; Staino, Alessandro
Scenario generator based on the monomial methods
2013-01-01 Consiglio, Andrea; Russo, Emilio; Staino, Alessandro
A moment-matching method to generate arbitrage-free scenarios
2015-01-01 Staino, Alessandro; Russo, Emilio
On pricing Asian options under stochastic volatility
2016-01-01 Russo, Emilio; Staino, A.
On pricing Asian options under stochastic volatility
2016-01-01 Russo, Emilio; Staino, Alessandro
A flexible lattice model for pricing options under stochastic interest rate and volatility
2017-01-01 Russo, Emilio; Staino, A.
A lattice based model for pricing interest sensitive claims under stochastic volatility
2017-01-01 Russo, Emilio; Staino, Alessandro
A lattice based model for evaluating bonds and interest sensitive claims under stochastic volatility
2018-01-01 Russo, Emilio; Staino, Alessandro
A lattice based model for evaluating bonds and interest sensitive claims under stochastic volatility
2018-01-01 Russo, Emilio; Staino, Alessandro
A flexible lattice model for pricing contingent claims under multiple risk factors
2018-01-01 Russo, Emilio; Staino, Alessandro
The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model
2020-01-01 CERBONI BAIARDI, Lorenzo; Costabile, Massimo; DE GIOVANNI, Domenico; Lamantia, Fabio Giovanni; Leccadito, Arturo; Massabo', Ivar; Menzietti, Massimiliano; Pirra, Marco; Russo, Emilio; Staino, Alessandro
A lattice approach to evaluate participating policies in a stochastic interest rate framework
2020-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio; Staino, Alessandro
Nested Conditional Value-at-Risk portfolio selection: a model with temporal dependence driven by market-index volatility
2020-01-01 Staino, Alessandro; Russo, Emilio
A lattice approach to evaluate participating policies in a stochastic interest rate framework
2021-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio; Staino, Alessandro
A Lattice Approach to Evaluate Participating Policies in a Stochastic Interest Rate Framework
2021-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio; Staino, Alessandro
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