Sfoglia per Autore
A lattice model for pricing interest-sensitive claims in a HJM framework
2009-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio
Computationally simple lattice methods for option and bond pricing
2009-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
2009-01-01 Costabile, Massimo; Massabo', Ivar; Gaudenzi, M; Zanette, A.
A binomial model for pricing US-style average options with reset features
2010-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
Fair valuation of equity-linked policies under default risk
2010-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio
A reduced lattice model for option pricing under regime-switching
2010-01-01 Costabile, Massimo; Leccadito, Arturo; Massabò, Ivar; Russo, Emilio
2010-01-01 Costabile, Massimo; Massabo', Ivar
A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance
2010-01-01 Costabile, Massimo; Massabo', Ivar
On pricing arithmetic reset options with multiple reset dates in a lattice framework
2011-01-01 Costabile, M; Massabo', Ivar; Russo, E.
A forward shooting grid method for option pricing with stochastic volatility
2011-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio
A binomial approximation for two-state Markovian HJM models
2011-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
Fair valuation of equity-linked policies under insurer default risk
2011-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
On pricing arithmetic average reset options with multiple reset dates in a lattice framework
2011-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio
A multinomial approach for option pricing under regime-switching jump-diffusion models
2012-01-01 Costabile, Massimo; Leccadito, Arturo; Massabò, Ivar; Russo, Emilio
On pricing contingent claims under the double Heston model
2012-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
A forward shooting grid method for option pricing with stochastic volatility
2012-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
A Path-Independent Humped Volatility Model for Option Pricing
2013-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
A multistage stochastic programming approach for capital budgeting problems under uncertainty
2013-01-01 Beraldi, Patrizia; Costabile, Massimo; De Simone, F.; Massabo', Ivar; Russo, Emilio; Violi, Antonio
Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
2013-01-01 Costabile, Massimo
Option pricing under regime-switching jump-diffusion models
2014-01-01 Costabile, Massimo; Leccadito, Arturo; Massabo', Ivar; Russo, Emilio
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