Massimo Costabile

Publication Activity (10 Years)

Years Active: 2011-2023
Publications (10 Years): 3

Top Topics

Viral Marketing

Diffusion Models

Black Scholes Model

Top Venues

J. Comput. Appl. Math.

Commun. Nonlinear Sci. Numer. Simul.

Comput. Manag. Sci.

Publications

Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion. Commun. Nonlinear Sci. Numer. Simul. 118 (2023)
Alessandro Staino, Emilio Russo, Massimo Costabile, Arturo Leccadito
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. Comput. Manag. Sci. 20 (1) (2023)
Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino
A lattice approach to evaluate participating policies in a stochastic interest rate framework. J. Comput. Appl. Math. 385 (2021)
Massimo Costabile, Arturo Leccadito, Ivar Massabò, Emilio Russo
Option pricing under regime-switching jump-diffusion models. J. Comput. Appl. Math. 256 (2014)
Massimo Costabile, Ivar Massabò, Emilio Russo
On pricing arithmetic average reset options with multiple reset dates in a lattice framework. J. Comput. Appl. Math. 235 (17) (2011)