Narrow search
Showing 1 - 8 of 8
Cover Image
Calibrating affine stochastic mortality models using term assurance premiums
Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; … - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 53-60
Persistent link: https://www.econbiz.de/10009157445
Cover Image
Pricing nondiversifiable credit risk in the corporate Eurobond market
Abaffy, J.; Bertocchi, Marida; Dupačová, Jitka; … - In: Journal of banking & finance 31 (2007) 8, pp. 2233-2263
Persistent link: https://www.econbiz.de/10003522905
Cover Image
Embedded option pricing on interest-rate sensitive securities in the Italian market
Giacometti, Rosella - In: Operations research models in quantitative finance : …, (pp. 210-234). 1994
Persistent link: https://www.econbiz.de/10001315470
Cover Image
Time series and copula dependency analysis for eurozone sovereign bond returns
Tsuchida, Naoshi; Giacometti, Rosella; Fabozzi, Frank J.; … - In: The journal of fixed income 24 (2014) 1, pp. 75-87
Persistent link: https://www.econbiz.de/10011293042
Cover Image
The ICA-based factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015
Persistent link: https://www.econbiz.de/10011375946
Cover Image
Factor decomposition of the Eurozone sovereign CDS spreads
Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - In: Journal of international money and finance 65 (2016), pp. 1-23
Persistent link: https://www.econbiz.de/10011668394
Cover Image
Market implied volatilities for defaultable bonds
Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. - 2019
Persistent link: https://www.econbiz.de/10012008749
Cover Image
Portfolio selection strategy for fixed income markets with immunization on average
Ortobelli, Sergio; Vitali, Sebastiano; Cassader, Marco; … - In: Advances of OR in commodities and financial modeling, (pp. 395-415). 2018
Persistent link: https://www.econbiz.de/10011871422