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~person:"Russo, Vincenzo"
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Russo, Vincenzo
Fabozzi, Frank J.
1,122
Račev, Svetlozar T.
94
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75
Kim, Young Shin
58
Stoyanov, Stoyan V.
54
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40
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39
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38
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34
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31
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Insurance / Mathematics & economics
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1
Calibrating affine stochastic mortality models using term assurance premiums
Russo, Vincenzo
;
Giacometti, Rosella
;
Ortobelli, Sergio
; …
- In:
Insurance / Mathematics & economics
49
(
2011
)
1
,
pp. 53-60
Persistent link: https://www.econbiz.de/10009157445
Saved in:
2
A three-factor model for mortality modeling
Russo, Vincenzo
;
Giacometti, Rosella
;
Račev, Svetlozar T.
- In:
North American actuarial journal
19
(
2015
)
2
,
pp. 129-141
Persistent link: https://www.econbiz.de/10011420799
Saved in:
3
A one-factor shifted squared Gaussian term structure model for interest rate modeling
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
3
,
pp. 36-45
Persistent link: https://www.econbiz.de/10011430618
Saved in:
4
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Russo, Vincenzo
;
Lagasio, Valentina
;
Brogi, Marina
; …
- In:
Annals of finance
16
(
2020
)
1
,
pp. 141-157
Persistent link: https://www.econbiz.de/10012495982
Saved in:
5
Intensity-based framework for surrender modeling in life insurance
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011694432
Saved in:
6
Calibrating short interest rate models in negative rate environments
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of derivatives : the official publication …
24
(
2017
)
4
,
pp. 80-92
Persistent link: https://www.econbiz.de/10011687429
Saved in:
7
Using the right implied volatility quotes in times of low interest rates : an empirical analysis across different currencies
Patel, Jinal
;
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
Finance research letters
25
(
2018
),
pp. 196-201
Persistent link: https://www.econbiz.de/10012003522
Saved in:
8
Market implied volatilities for defaultable bonds
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
-
2019
Persistent link: https://www.econbiz.de/10012008749
Saved in:
9
Pricing coupon bond options and swaptions under the one-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
25
(
2016
)
4
,
pp. 76-82
Persistent link: https://www.econbiz.de/10011660738
Saved in:
10
Pricing coupon bond options and swaptions under the two-factor Hull-White model
Russo, Vincenzo
;
Fabozzi, Frank J.
- In:
The journal of fixed income
27
(
2017
)
2
,
pp. 30-36
Persistent link: https://www.econbiz.de/10011803731
Saved in:
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