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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
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A note on Fergusson and Platen: "application of maximum likelihood estimation to stochastic short rate models"
Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide - In: Annals of financial economics 11 (2016) 4, pp. 1-7
Persistent link: https://www.econbiz.de/10011686858
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Modeling CDS spreads : a comparison of some hybrid approaches
Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide - In: Journal of empirical finance 57 (2020), pp. 107-124
Persistent link: https://www.econbiz.de/10012430444
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945