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1

A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance

Costabile, Massimo, Massabó, Ivar

Journal:

The Journal of Derivatives

Year:

2010

Language:

english

File:

PDF, 4.06 MB

english, 2010

2

Option pricing under regime-switching jump–diffusion models

Costabile, Massimo, Leccadito, Arturo, Massabó, Ivar, Russo, Emilio

Journal:

Journal of Computational and Applied Mathematics

Year:

2014

Language:

english

File:

PDF, 511 KB

english, 2014

3

A Path-Independent Humped Volatility Model for Option Pricing

Costabile, Massimo, Massabó, Ivar, Russo, Emilio

Journal:

Applied Mathematical Finance

Year:

2013

Language:

english

File:

PDF, 164 KB

english, 2013

4

A note on longest processing time algorithms for the two uniform parallel machine makespan minimization problem

Massabò, Ivar, Paletta, Giuseppe, Ruiz-Torres, Alex J.

Journal:

Journal of Scheduling

Year:

2016

Language:

english

File:

PDF, 415 KB

english, 2016

5

A binomial model for pricing US-style average options with reset features

Costabile, Massimo, Massabo, Ivar, Russo, Emilio

Journal:

International Journal of Financial Markets and Derivatives

Year:

2010

Language:

english

File:

PDF, 227 KB

english, 2010

6

Semilinear elliptic equations with the primitive of the nonlinearity interacting with the first eigenvalue

Djairo G de Figueiredo, Ivar Massabò

Journal:

Journal of Mathematical Analysis and Applications

Year:

1991

Language:

english

File:

PDF, 576 KB

english, 1991

7

A binomial model for valuing equity-linked policies embedding surrender options

Massimo Costabile, Ivar Massabó, Emilio Russo

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 512 KB

english, 2008

8

Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model

Massimo Costabile, Marcellino Gaudenzi, Ivar Massabò, Antonino Zanette

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.69 MB

english, 2009

9

Computationally simple lattice methods for option and bond pricing

Massimo Costabile, Arturo Leccadito, Ivar Massabó

Journal:

Decisions in Economics and Finance

Year:

2009

Language:

english

File:

PDF, 464 KB

english, 2009

10

Moment based approaches to value the risk of contingent claim portfolios

Gaetano Iaquinta, Fabio Lamantia, Ivar Massabò, Sergio Ortobelli

Journal:

Annals of Operations Research

Year:

2009

Language:

english

File:

PDF, 728 KB

english, 2009

11

A binomial approximation for two-state Markovian HJM models

Massimo Costabile, Ivar Massabó, Emilio Russo

Journal:

Review of Derivatives Research

Year:

2011

Language:

english

File:

PDF, 397 KB

english, 2011

12

An adjusted binomial model for pricing Asian options

Massimo Costabile, Ivar Massabó, Emilio Russo

Journal:

Review of Quantitative Finance and Accounting

Year:

2006

Language:

english

File:

PDF, 216 KB

english, 2006

13

Positive eigenvectors of k-set contractions

Ivar Massabo, Charles A. Stuart

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1979

Language:

english

File:

PDF, 654 KB

english, 1979

14

Irreducible continua of solutions for Birkhoff-Kellogg type equations

Ivar Massabo, Alfonso Vignoli

Journal:

Nonlinear Analysis: Theory, Methods & Applications

Year:

1983

Language:

english

File:

PDF, 719 KB

english, 1983

15

On pricing arithmetic average reset options with multiple reset dates in a lattice framework

Massimo Costabile, Ivar Massabó, Emilio Russo

Journal:

Journal of Computational and Applied Mathematics

Year:

2011

Language:

english

File:

PDF, 576 KB

english, 2011

16

Fair Valuation of Equity-Linked Policies under Insurer Default Risk

Costabile, Massimo, Massabò, Ivar, Russo, Emilio

Journal:

North American Actuarial Journal

Year:

2011

Language:

english

File:

PDF, 1.20 MB

english, 2011

17

A shifted tree model for the efficient evaluation of options with fixed dividends

Costabile, Massimo, Massabò, Ivar, Russo, Emilio

Journal:

IMA Journal of Management Mathematics

Year:

2016

Language:

english

File:

PDF, 222 KB

english, 2016

18

Non-Gaussian Distribution for Var Calculation: an Assessment for the Italian Market

Consiglio, Andrea, Massabò, Ivar, Ortobelli, Sergio

Journal:

IFAC Proceedings Volumes

Year:

2001

Language:

english

File:

PDF, 3.26 MB

english, 2001

19

Capacity investment under uncertainty: The effect of volume flexibility

De Giovanni, Domenico, Massabò, Ivar

Journal:

International Journal of Production Economics

Year:

2018

Language:

english

File:

PDF, 1.36 MB

english, 2018

20

A note on posterior tight worst-case bounds for longest processing time schedules

Ho, Johnny C., Massabò, Ivar, Paletta, Giuseppe, Ruiz-Torres, Alex J.

Journal:

4OR: A Quarterly Journal of Operations Research

Year:

2018

Language:

english

File:

PDF, 428 KB

english, 2018

21

Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder's withdrawals

Costabile, Massimo, Massabó, Ivar, Russo, Emilio

Journal:

European Journal of Finance

Year:

2019

Language:

english

File:

PDF, 2.52 MB

english, 2019

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