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GARCH models as diffusion approximation : a simulation approach for currency hedging using options
Castellano, Rosella - In: New operational approaches for financial modelling, (pp. 297-310). 1997
Persistent link: https://www.econbiz.de/10001299211
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Mean-variance portfolio selection in presence of infrequently traded stocks
Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010356733
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Sustainable management of fossil fuels : a dynamic stochastic optimization approach with jump-diffusion
Castellano, Rosella; Cerqueti, Roy; Spinesi, Luca - In: European journal of operational research : EJOR 255 (2016) 1, pp. 288-297
Persistent link: https://www.econbiz.de/10011530870
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A theory of misperception in a stochastic dominance framework and its application to structured financial products
Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37
Persistent link: https://www.econbiz.de/10011858928
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Structural estimation of counterparty credit risk under recovery risk
Castellano, Rosella; Corallo, Vincenzo; Morelli, Giacomo - In: Journal of banking & finance 140 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013463128