Sfoglia per Autore
On pricing Asian options under stochastic volatility
2016-01-01 Russo, Emilio; Staino, A.
Compound option pricing under stochastic volatility
2016-01-01 Leccadito, Arturo; Russo, Emilio
On pricing Asian options under stochastic volatility
2016-01-01 Russo, Emilio; Staino, Alessandro
A bivariate model for evaluating equity-linked policies with surrender options
2016-01-01 De Angelis, P; Martire, A; Russo, Emilio
A Shifted Tree Model for the Efficient Evaluation of Options with Fixed Dividends
2016-01-01 Costabile, Massimo; Massabo', I; Russo, E.
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
Fair valuation of participating policies embedding a minimum guaranteed bonus rate and a surrender option in a stochastic interest rate framework
2017-01-01 Russo, Emilio
Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
2018-01-01 Costabile, Massimo; Massabò, Ivar; Russo, Emilio
Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder withdrawals
2018-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
A lattice based model for evaluating bonds and interest sensitive claims under stochastic volatility
2018-01-01 Russo, Emilio; Staino, Alessandro
Fair valuation of participating policies in a stochastic interest rate framework
2018-01-01 Russo, Emilio
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
A discrete-time approach to evaluate path-dependent derivatives under a regime-switching risk model
2020-01-01 Russo, Emilio
Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder's withdrawals
2020-01-01 Costabile, Massimo; Massabo', Ivar; Russo, Emilio
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
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