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Author ID: russo.emilio Recent zbMATH articles by "Russo, Emilio"
Published as: Russo, Emilio; Russo, E.
Documents Indexed: 16 Publications since 2007
Co-Authors: 12 Co-Authors with 16 Joint Publications
121 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

11 Publications have been cited 44 times in 41 Documents Cited by Year
Option pricing under regime-switching jump-diffusion models. Zbl 1314.91206
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio
20
2014
A binomial model for valuing equity-linked policies embedding surrender options. Zbl 1141.91496
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
10
2008
A bivariate model for evaluating equity-linked policies with surrender option. Zbl 1401.91128
De Angelis, Paolo; Martire, Antonio Luciano; Russo, Emilio
3
2016
Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility. Zbl 1431.91369
Staino, Alessandro; Russo, Emilio
3
2020
A multistage stochastic programming approach for capital budgeting problems under uncertainty. Zbl 1258.91117
Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; Costabile, Massimo; Massabò, Ivar; Russo, Emilio
2
2013
On pricing contingent claims under the double Heston model. Zbl 1262.91147
Costabile, M.; Massabò, I.; Russo, E.
1
2012
On pricing arithmetic average reset options with multiple reset dates in a lattice framework. Zbl 1218.91168
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
Computing finite-time survival probabilities using multinomial approximations of risk models. Zbl 1401.91122
Costabile, M.; Massabò, I.; Russo, E.
1
2015
A shifted tree model for the efficient evaluation of options with fixed dividends. Zbl 1473.91021
Costabile, Massimo; Massabò, Ivar; Russo, Emilio
1
2018
A lattice approach to evaluate participating policies in a stochastic interest rate framework. Zbl 1460.91217
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro
1
2021
A lattice approach to evaluate participating policies in a stochastic interest rate framework. Zbl 1460.91217
Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro
1
2021
Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility. Zbl 1431.91369
Staino, Alessandro; Russo, Emilio
3
2020
A shifted tree model for the efficient evaluation of options with fixed dividends. Zbl 1473.91021
Costabile, Massimo; Massabò, Ivar; Russo, Emilio
1
2018
A bivariate model for evaluating equity-linked policies with surrender option. Zbl 1401.91128
De Angelis, Paolo; Martire, Antonio Luciano; Russo, Emilio
3
2016
Computing finite-time survival probabilities using multinomial approximations of risk models. Zbl 1401.91122
Costabile, M.; Massabò, I.; Russo, E.
1
2015
Option pricing under regime-switching jump-diffusion models. Zbl 1314.91206
Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio
20
2014
A multistage stochastic programming approach for capital budgeting problems under uncertainty. Zbl 1258.91117
Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; Costabile, Massimo; Massabò, Ivar; Russo, Emilio
2
2013
On pricing contingent claims under the double Heston model. Zbl 1262.91147
Costabile, M.; Massabò, I.; Russo, E.
1
2012
On pricing arithmetic average reset options with multiple reset dates in a lattice framework. Zbl 1218.91168
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
1
2011
A binomial model for valuing equity-linked policies embedding surrender options. Zbl 1141.91496
Costabile, Massimo; Massabó, Ivar; Russo, Emilio
10
2008
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Cited by 85 Authors

3 Ching, Wai-Ki
3 Tangman, Désiré Yannick
2 Dai, Tian-Shyr
2 De Angelis, Paolo
2 Gan, Xiaoting
2 Gu, Jiawen
2 Martire, Antonio Luciano
2 Russo, Emilio
2 Siu, Tak Kuen
2 Thakoor, Nawdha
2 Tour, Geraldine
2 Yang, Qingqing
2 Yang, Sharon S.
2 Yin, Junfeng
2 Ziveyi, Jonathan
1 Ahmadi, Zaniar
1 Alonso-Ayuso, Antonio
1 Andreoli, Alessandro
1 Azari, Hossein
1 Ballestra, Luca Vincenzo
1 Beraldi, Patrizia
1 Carvallo, Felipe
1 Ciancio, Claudio
1 Costabile, Massimo
1 Dang, Duy Minh
1 De Marchis, Roberto
1 Deng, Guohe
1 Dilloo, Mehzabeen Jumanah
1 Dyer, James S.
1 Escudero, Laureano Fernando
1 Fabozzi, Frank J.
1 Ferrara, Massimiliano
1 Foroush Bastani, Ali
1 Gan, Guojun
1 Gaudenzi, Marcellino
1 Giacometti, Rosella
1 Guignard, Monique
1 Guo, Sini
1 Haghi, Majid
1 Hahn, Warren J.
1 Han, Miao
1 Han, Youngchul
1 He, Wanhua
1 He, Xinjiang
1 Hosseini, Seyed Mohammad
1 Kang, Boda
1 Kazmi, Kamran
1 Khaliq, Abdul Q. M.
1 Kim, Geonwoo
1 Lee, Sunju
1 Lee, Younhee
1 Lin, Sha
1 Liu, Liang-Chih
1 Liu, Ruihua
1 Liu, Shican
1 Ma, Jingtang
1 Massabó, Ivar
1 Mercadier, Mathieu
1 Mitra, Sovan
1 Mollapourasl, Reza
1 Pacelli, Graziella
1 Pansera, Bruno Antonio
1 Pantelous, Athanasios A.
1 Pelsser, Antoon A. J.
1 Pi, Jiaxing
1 Puranmalka, Raghav
1 Qin, Bin
1 Rambeerich, Nisha
1 Russo, Vincenzo
1 Salahnejhad Ghalehjooghi, Ahmad
1 Sewell, Granville
1 Shen, Yang
1 Sherris, Michael
1 Song, Xuefeng
1 Strobel, Frank
1 Su, Karen C.
1 Violi, Antonio
1 Wang, Tianyang
1 Weintraub, Andrés P.
1 Wu, Yonghong
1 Xue, Guangming
1 Yang, Yu
1 Zanette, Antonino
1 Zhang, Hu
1 Zhou, Shengwu

Citations by Year