Massimo Costabile

Available identifiers

zbMath Open costabile.massimoMaRDI QIDQ539144

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
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion	2023-02-16	Paper
A lattice approach to evaluate participating policies in a stochastic interest rate framework	2021-02-03	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
https://portal.mardi4nfdi.de/entity/Q3456280	2015-12-11	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
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model	2012-02-10	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
Computationally simple lattice methods for option and bond pricing	2009-11-16	Paper
A binomial model for valuing equity-linked policies embedding surrender options	2008-06-25	Paper
On pricing lookback options under the CEV process	2007-05-24	Paper
A combinatorial approach for pricing Parisian options.	2003-03-19	Paper
A discrete-time algorithm for pricing double barrier options.	2002-10-21	Paper
https://portal.mardi4nfdi.de/entity/Q4953580	2000-06-22	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Massimo Costabile