Similar Search Results

A hybrid method for pricing European options based on multiple assets with transaction costs

Pacelli, Graziella; Recchioni, Maria Cristina; Zirilli, … - In: Applied mathematical finance 6 (1999) 2, pp. 61-85

Persistent link: https://www.econbiz.de/10001449240

Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory

Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222

Persistent link: https://www.econbiz.de/10003687162

An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems

Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: The journal of futures markets 29 (2009) 9, pp. 862-893

Persistent link: https://www.econbiz.de/10003900928

The analysis of real data using a stochastic dynamical system able to model spiky prices

Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of mathematical finance 2 (2012) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10009668291

A path following method for box-constrained multiobjective optimization with applications to goal programming problems

Recchioni, Maria Cristina - In: Mathematical methods of operations research 58 (2003) 1, pp. 69-85

Persistent link: https://www.econbiz.de/10001788399

Pricing Defaultable Bonds : A New Model Combining Structural Information with the Reduced-Form Approach

Ballestra, Luca Vincenzo - 2009

We propose a new model to price defaultable bonds which incorporates features of both structural and reduced-form models of credit risk. The main novelty of the model is that the default intensity is described by an additional stochastic differential equation coupled with the process of the...

Persistent link: https://www.econbiz.de/10013155358

The constant elasticity of variance model : calibration, test and evidence from the Italian equity market

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Applied financial economics 21 (2011) 19/21, pp. 1479-1487

Persistent link: https://www.econbiz.de/10009356089

An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk

Ballestra, Luca Vincenzo; Ottaviani, Massimiliano; … - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 442-448

Persistent link: https://www.econbiz.de/10009672172

Valuing risky debt : a new model combining structural information with the reduced-form approach

Ballestra, Luca Vincenzo; Pacelli, Graziella - In: Insurance / Mathematics & economics 55 (2014), pp. 261-271

Persistent link: https://www.econbiz.de/10010366168

On a variational formulation used in credit risk modeling

Pacelli, Graziella; Ballestra, Luca Vincenzo - In: Finance research letters 7 (2010) 2, pp. 110-118

Persistent link: https://www.econbiz.de/10009272766