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A reduced lattice model for op...
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Yield curve
Option pricing theory
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Russo, Emilio
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ASTIN bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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A path-independent humped volatility model for option pricing
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Applied mathematical finance
20
(
2013
)
3/4
,
pp. 191-210
Persistent link: https://www.econbiz.de/10010187670
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2
A binomial approximation for two-state Markovian HJM models
Costabile, Massimo
;
Massabo, Ivar
;
Russo, Emilio
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 37-65
Persistent link: https://www.econbiz.de/10009272493
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3
A lattice-based model for evaluating bonds and interest-sensitive claims under stochastic volatility
Russo, Emilio
;
Staino, Alessandro
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011892605
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4
Fair valuations of insurance policies under multiple risk factors : a flexible lattice approach
Devolder, Pierre
;
Russo, Emilio
;
Staino, Alessandro
- In:
ASTIN bulletin : the journal of the International …
54
(
2024
)
2
,
pp. 385-409
Persistent link: https://www.econbiz.de/10015055294
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5
CMCDS premia implicit in the term structure of corporate CDS spreads
Leccadito, Arturo
(
contributor
);
Tunaru, Radu
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003806872
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6
Trading strategies with implied forward credit default swap spreads
Leccadito, Arturo
;
Tunaru, Radu
;
Urga, Giovanni
- In:
Journal of banking & finance
58
(
2015
),
pp. 361-375
Persistent link: https://www.econbiz.de/10011544021
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