Sfoglia per Autore
ON THE MARKOVIAN BEHAVIOR OF ASSET RETURNS
2005-01-01 Leccadito, Arturo; ORTOBELLI LOZZA, Sergio; Russo, Emilio
Portfolio Selection, VaR and CVaR models with Markov Chains
2005-01-01 Leccadito, Arturo; Ortobelli, Sergio; Russo, Emilio
Financial Risk Modeling with Markov Chains
2006-01-01 Leccadito, Arturo; Ortobelli, S; Russo, Emilio; Iaquinta, G.
Portfolio Selection and Risk Management with Markov Chains
2007-01-01 Leccadito, Arturo; Ortobelli, S; Russo, Emilio
Computationally simple lattice methods for option and bond pricing
2009-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar
A reduced lattice model for option pricing under regime-switching
2010-01-01 Costabile, Massimo; Leccadito, Arturo; Massabò, Ivar; Russo, Emilio
Extracting risk-neutral density information from options market prices
2012-01-01 Leccadito, Arturo; Tunaru, R. S.
A multinomial approach for option pricing under regime-switching jump-diffusion models
2012-01-01 Costabile, Massimo; Leccadito, Arturo; Massabò, Ivar; Russo, Emilio
Hermite Binomial Trees: A novel Technique for Derivatives Pricing
2012-01-01 Leccadito, Arturo; Toscano, P; Tunaru, R.
A new method for generating approximation algorithms for financial mathematics applications
2012-01-01 Fabozzi, F. J.; Leccadito, Arturo; Tunaru, R.
Compound option pricing under stochastic volatility
2014-01-01 Leccadito, Arturo; Russo, Emilio
Option pricing under regime-switching jump-diffusion models
2014-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar; Russo, Emilio
Pricing and Hedging Basket Options Under Shifted Asymmetric Jump-Diffusion Processes
2014-01-01 Paletta, T; Leccadito, Arturo; Tunaru, R.
Evaluating the Accuracy of Value-at-Risk Forecasts: New Multilevel Tests
2014-01-01 Leccadito, Arturo; Boffelli, S; Urga, G.
A reduced lattice model for option pricing under regime-switching
2014-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar; Russo, Emilio
Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method
2014-01-01 Leccadito, Arturo; Toscano, P; Tunaru, R.
Extracting Market Information from Equity Options with Exponential Lévy Processes
2014-01-01 Fabozzi, F. J.; Leccadito, Arturo; Tunaru, R.
Trading strategies with implied forward credit default swap spreads
2015-01-01 Leccadito, Arturo; Tunaru, R.; Urga, G.
True Vs Spurious Long Memory: Some Theoretical Results And A Monte Carlo Comparison
2015-01-01 Leccadito, Arturo; Rachedi, O; Urga, G.
A regime Switching Ohlson model
2015-01-01 Leccadito, Arturo; Veltri, Stefania
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