Massimo Costabile

From MaRDI portal
Person:539144

Available identifiers

zbMath Open costabile.massimoMaRDI QIDQ539144

List of research outcomes





PublicationDate of PublicationType
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with conditional value-at-risk (CVaR) constraint2023-12-14Paper
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion2023-02-16Paper
A lattice approach to evaluate participating policies in a stochastic interest rate framework2021-02-03Paper
A shifted tree model for the efficient evaluation of options with fixed dividends2019-06-18Paper
Computing finite-time survival probabilities using multinomial approximations of risk models2018-07-11Paper
A fast and accurate lattice model to evaluate options under the variance gamma process2015-12-11Paper
Option pricing under regime-switching jump-diffusion models2015-06-16Paper
Fair valuation of equity-linked policies under insurer default risk2014-07-19Paper
A multistage stochastic programming approach for capital budgeting problems under uncertainty2013-03-12Paper
On pricing contingent claims under the double Heston model2012-10-15Paper
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model2012-02-10Paper
On pricing arithmetic average reset options with multiple reset dates in a lattice framework2011-08-02Paper
A binomial approximation for two-state Markovian HJM models2011-05-27Paper
Computationally simple lattice methods for option and bond pricing2009-11-16Paper
A binomial model for valuing equity-linked policies embedding surrender options2008-06-25Paper
On pricing lookback options under the CEV process2007-05-24Paper
A combinatorial approach for pricing Parisian options.2003-03-19Paper
A discrete-time algorithm for pricing double barrier options.2002-10-21Paper
https://portal.mardi4nfdi.de/entity/Q49535802000-06-22Paper

Research outcomes over time

This page was built for person: Massimo Costabile