Modeling the future value distribution of a life insurance portfolio von Costabile, Massimo, Viviano, Fabio

Volltext

Testing the least-squares Monte Carlo method for the evaluation of capital requirements in life insurance von Costabile, Massimo, Viviano, Fabio

Volltext

Lattice-based model for pricing contingent claims under mixed fractional Brownian motion von Costabile, Massimo, Massabó, Ivar, Russo, Emilio, Staino, Alessandro

Volltext

A lattice approach to evaluate participating policies in a stochastic interest rate framework von Costabile, Massimo, Massabó, Ivar, Russo, Emilio, Staino, Alessandro

Volltext

Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint von Staino, Alessandro, Russo, Emilio, Costabile, Massimo, Leccadito, Arturo

Volltext

Option pricing under regime-switching jump–diffusion models von Costabile, Massimo, Leccadito, Arturo, Massabó, Ivar, Russo, Emilio

Volltext

Fair evaluation of life insurance policies with periodic rebalancing between asset portfolios and interest rate guarantee von Costabile, Massimo, Gaudenzi, Marcellino

Volltext

Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee von Costabile, M.

Volltext

A shifted tree model for the efficient evaluation of options with fixed dividends von Costabile, Massimo, Massabò, Ivar, Russo, Emilio

Volltext

A reduced lattice model for option pricing under regime-switching von Costabile, Massimo, Leccadito, Arturo, Massabó, Ivar, Russo, Emilio

Volltext

The dynamics of the S&P 500 under a crisis context: Insights from a three-regime switching model von Cerboni Baiardi, Lorenzo, Costabile, Massimo, de Giovanni, Domenico, Lamantia, Fabio, Leccadito, Arturo, Massabo, Ivar, Menzietti, Massimiliano, Pirra, Marco, Russo, Emilio, Staino, Alessandro

Volltext

On pricing arithmetic average reset options with multiple reset dates in a lattice framework von Costabile, Massimo, Massabó, Ivar, Russo, Emilio

Volltext

The Dynamics of the S P 500 under a Crisis Context: Insights from a Three-Regime Switching Model von Lorenzo Cerboni Baiardi, Massimo Costabile, Domenico De Giovanni, Fabio Lamantia, Arturo Leccadito, Ivar Massabó, Massimiliano Menzietti, Marco Pirra, Emilio Russo, Alessandro Staino

Volltext

On pricing lookback options under the CEV process von Costabile, Massimo

Volltext

A Path-Independent Humped Volatility Model for Option Pricing von Costabile, Massimo, Massabó, Ivar, Russo, Emilio

Volltext

A combinatorial approach for pricing Parisian options von Costabile, Massimo

Volltext

A multistage stochastic programming approach for capital budgeting problems under uncertainty von Beraldi, P., Violi, A., De Simone, F., Costabile, M., Massabo, I., Russo, E.

Volltext

Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model von Costabile, Massimo, Gaudenzi, Marcellino, Massabò, Ivar, Zanette, Antonino

Volltext

A binomial approximation for two-state Markovian HJM models von Costabile, Massimo, Massabó, Ivar, Russo, Emilio

Volltext

A binomial model for valuing equity-linked policies embedding surrender options von Costabile, Massimo, Massabó, Ivar, Russo, Emilio

Volltext