Emilio Russo

Available identifiers

zbMath Open russo.emilioWikidataQ108505335 ScholiaQ108505335MaRDI QIDQ319830

List of research outcomes

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	2023-12-14	Paper
Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods	2023-06-12	Paper
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion	2023-02-16	Paper
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders	2022-06-17	Paper
A lattice approach to evaluate participating policies in a stochastic interest rate framework	2021-02-03	Paper
Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility	2019-09-18	Paper
A shifted tree model for the efficient evaluation of options with fixed dividends	2019-06-18	Paper
Computing finite-time survival probabilities using multinomial approximations of risk models	2018-07-11	Paper
A bivariate model for evaluating equity-linked policies with surrender option	2018-07-11	Paper
A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY	2018-06-29	Paper
A moment-matching method to generate arbitrage-free scenarios	2016-10-06	Paper
Option pricing under regime-switching jump-diffusion models	2015-06-16	Paper
Fair Valuation of Equity-Linked Policies under Insurer Default Risk	2014-07-19	Paper
A multistage stochastic programming approach for capital budgeting problems under uncertainty	2013-03-12	Paper
ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL	2012-10-15	Paper
On pricing arithmetic average reset options with multiple reset dates in a lattice framework	2011-08-02	Paper
A binomial approximation for two-state Markovian HJM models	2011-05-27	Paper
A binomial model for valuing equity-linked policies embedding surrender options	2008-06-25	Paper
An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market	2007-11-05	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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