Alessandro Staino

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A lattice-based algorithm for pricing derivatives in a fractional Brownian motion framework Annals of Finance	2025-12-16	Paper
Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach ASTIN Bulletin	2024-06-17	Paper
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint Computational Management Science	2023-12-14	Paper
Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods Decisions in Economics and Finance	2023-06-12	Paper
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion Communications in Nonlinear Science and Numerical Simulation	2023-02-16	Paper
A lattice approach to evaluate participating policies in a stochastic interest rate framework Journal of Computational and Applied Mathematics	2021-02-03	Paper
Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility European Journal of Operational Research	2019-09-18	Paper
A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY International Journal of Theoretical and Applied Finance	2018-06-29	Paper
A moment-matching method to generate arbitrage-free scenarios European Journal of Operational Research	2016-10-06	Paper
A stochastic programming model for the optimal issuance of government bonds Annals of Operations Research	2013-01-15	Paper

Research outcomes over time

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