Massimo Costabile

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
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
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
A shifted tree model for the efficient evaluation of options with fixed dividends IMA Journal of Management Mathematics	2019-06-18	Paper
Computing finite-time survival probabilities using multinomial approximations of risk models Scandinavian Actuarial Journal	2018-07-11	Paper
A fast and accurate lattice model to evaluate options under the variance gamma process	2015-12-11	Paper
Option pricing under regime-switching jump-diffusion models Journal of Computational and Applied Mathematics	2015-06-16	Paper
Fair valuation of equity-linked policies under insurer default risk North American Actuarial Journal	2014-07-19	Paper
A multistage stochastic programming approach for capital budgeting problems under uncertainty IMA Journal of Management Mathematics	2013-03-12	Paper
On pricing contingent claims under the double Heston model International Journal of Theoretical and Applied Finance	2012-10-15	Paper
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model Insurance Mathematics & Economics	2012-02-10	Paper
On pricing arithmetic average reset options with multiple reset dates in a lattice framework Journal of Computational and Applied Mathematics	2011-08-02	Paper
A binomial approximation for two-state Markovian HJM models Review of Derivatives Research	2011-05-27	Paper
Computationally simple lattice methods for option and bond pricing Decisions in Economics and Finance	2009-11-16	Paper
A binomial model for valuing equity-linked policies embedding surrender options Insurance Mathematics & Economics	2008-06-25	Paper
On pricing lookback options under the CEV process Decisions in Economics and Finance	2007-05-24	Paper
A combinatorial approach for pricing Parisian options. Decisions in Economics and Finance	2003-03-19	Paper
A discrete-time algorithm for pricing double barrier options. Decisions in Economics and Finance	2002-10-21	Paper
scientific article; zbMATH DE number 1444525 (Why is no real title available?)	2000-06-22	Paper

Research outcomes over time

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