Edit Profile (opens in new tab) Russo, Emilio Compute Distance To: Compute Author ID: russo.emilio Published as: Russo, Emilio; Russo, E. Documents Indexed: 17 Publications since 2007 Co-Authors: 12 Co-Authors with 17 Joint Publications 122 Co-Co-Authors all top 5 Co-Authors 0 single-authored 11 Costabile, Massimo 11 Massabó, Ivar 5 Staino, Alessandro 2 De Angelis, Paolo 2 Martire, Antonio Luciano 1 Beraldi, Patrizia 1 De Marchis, Roberto 1 de Simone, Francesco 1 Leccadito, Arturo 1 Mamon, Rogemar S. 1 Spagnolo, Fabio 1 Violi, Antonio all top 5 Serials 3 Journal of Computational and Applied Mathematics 2 European Journal of Operational Research 2 International Journal of Theoretical and Applied Finance 2 Scandinavian Actuarial Journal 2 IMA Journal of Management Mathematics 1 Insurance Mathematics & Economics 1 Communications in Nonlinear Science and Numerical Simulation 1 Decisions in Economics and Finance 1 North American Actuarial Journal 1 Review of Derivatives Research Fields 17 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 6 Probability theory and stochastic processes (60-XX) 2 Operations research, mathematical programming (90-XX) 1 Statistics (62-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 11 Publications have been cited 49 times in 46 Documents Cited by ▼ Year ▼ Option pricing under regime-switching jump-diffusion models. Zbl 1314.91206Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio 23 2014 A binomial model for valuing equity-linked policies embedding surrender options. Zbl 1141.91496Costabile, Massimo; Massabó, Ivar; Russo, Emilio 10 2008 A bivariate model for evaluating equity-linked policies with surrender option. Zbl 1401.91128De 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 1431.91369Staino, Alessandro; Russo, Emilio 3 2020 Computing finite-time survival probabilities using multinomial approximations of risk models. Zbl 1401.91122Costabile, M.; Massabò, I.; Russo, E. 2 2015 On pricing arithmetic average reset options with multiple reset dates in a lattice framework. Zbl 1218.91168Costabile, Massimo; Massabó, Ivar; Russo, Emilio 2 2011 A multistage stochastic programming approach for capital budgeting problems under uncertainty. Zbl 1258.91117Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; Costabile, Massimo; Massabò, Ivar; Russo, Emilio 2 2013 A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159Costabile, Massimo; Massabó, Ivar; Russo, Emilio 1 2011 On pricing contingent claims under the double Heston model. Zbl 1262.91147Costabile, M.; Massabò, I.; Russo, E. 1 2012 A shifted tree model for the efficient evaluation of options with fixed dividends. Zbl 1473.91021Costabile, Massimo; Massabò, Ivar; Russo, Emilio 1 2018 A lattice approach to evaluate participating policies in a stochastic interest rate framework. Zbl 1460.91217Costabile, Massimo; Massabó, Ivar; Russo, Emilio; Staino, Alessandro 1 2021 A lattice approach to evaluate participating policies in a stochastic interest rate framework. Zbl 1460.91217Costabile, 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 1431.91369Staino, Alessandro; Russo, Emilio 3 2020 A shifted tree model for the efficient evaluation of options with fixed dividends. Zbl 1473.91021Costabile, Massimo; Massabò, Ivar; Russo, Emilio 1 2018 A bivariate model for evaluating equity-linked policies with surrender option. Zbl 1401.91128De Angelis, Paolo; Martire, Antonio Luciano; Russo, Emilio 3 2016 Computing finite-time survival probabilities using multinomial approximations of risk models. Zbl 1401.91122Costabile, M.; Massabò, I.; Russo, E. 2 2015 Option pricing under regime-switching jump-diffusion models. Zbl 1314.91206Costabile, Massimo; Leccadito, Arturo; Massabó, Ivar; Russo, Emilio 23 2014 A multistage stochastic programming approach for capital budgeting problems under uncertainty. Zbl 1258.91117Beraldi, Patrizia; Violi, Antonio; De Simone, Francesco; Costabile, Massimo; Massabò, Ivar; Russo, Emilio 2 2013 On pricing contingent claims under the double Heston model. Zbl 1262.91147Costabile, M.; Massabò, I.; Russo, E. 1 2012 On pricing arithmetic average reset options with multiple reset dates in a lattice framework. Zbl 1218.91168Costabile, Massimo; Massabó, Ivar; Russo, Emilio 2 2011 A binomial approximation for two-state Markovian HJM models. Zbl 1213.91159Costabile, Massimo; Massabó, Ivar; Russo, Emilio 1 2011 A binomial model for valuing equity-linked policies embedding surrender options. Zbl 1141.91496Costabile, Massimo; Massabó, Ivar; Russo, Emilio 10 2008 all cited Publications top 5 cited Publications all top 5 Cited by 101 Authors 3 Ching, Wai-Ki 3 Russo, Emilio 3 Tangman, Désiré Yannick 2 Costabile, Massimo 2 Dai, Tian-Shyr 2 De Angelis, Paolo 2 Gan, Xiaoting 2 Gu, Jiawen 2 Kim, Kyong-Hui 2 Martire, Antonio Luciano 2 Massabó, Ivar 2 Siu, Tak Kuen 2 Thakoor, Nawdha 2 Tour, Geraldine 2 Yang, Qingqing 2 Yang, Sharon S. 2 Yin, Junfeng 2 Zanette, Antonino 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 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 Goudenège, Ludovic 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 Heidari, Saghar 1 Hosseini, Seyed Mohammad 1 Jo, Ho-Bom 1 Ju, Dong-Chol 1 Kang, Boda 1 Kazmi, Kamran 1 Khaliq, Abdul Q. M. 1 Kim, Geonwoo 1 Kim, Jongkuk 1 Kim, Nam-Ung 1 Lee, Sunju 1 Lee, Younhee 1 Li, Jingchao 1 Li, Rui 1 Lin, Sha 1 Liu, Liang-Chih 1 Liu, Ruihua 1 Liu, Shican 1 Ma, Jingtang 1 Mercadier, Mathieu 1 Mitra, Sovan 1 Molent, Andrea 1 Mollapourasl, Reza 1 Nie, Ciyu 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 Ri, Ju-Hyang 1 Russo, Vincenzo 1 Salahnejhad Ghalehjooghi, Ahmad 1 Sewell, Granville 1 Shen, Yang 1 Sherris, Michael 1 Song, Xuefeng 1 Staino, Alessandro 1 Strobel, Frank 1 Su, Bihao 1 Su, Karen C. 1 Violi, Antonio 1 Wang, Tianyang 1 Wang, Wei 1 Wei, Zhenghong 1 Weintraub, Andrés P. 1 Wu, Yonghong 1 Xue, Guangming 1 Yang, Yu 1 Zhang, Hu ...and 1 more Authors all top 5 Cited in 26 Serials 9 Insurance Mathematics & Economics 5 European Journal of Operational Research 4 Journal of Computational and Applied Mathematics 2 International Journal of Computer Mathematics 2 Discrete Dynamics in Nature and Society 2 Communications in Nonlinear Science and Numerical Simulation 2 Scandinavian Actuarial Journal 2 Quantitative Finance 1 Computers & Mathematics with Applications 1 Physica A 1 Applied Numerical Mathematics 1 Journal of Economic Dynamics & Control 1 Journal of Scientific Computing 1 Annals of Operations Research 1 Communications in Statistics. Theory and Methods 1 Computational and Applied Mathematics 1 Complexity 1 Probability in the Engineering and Informational Sciences 1 Methodology and Computing in Applied Probability 1 Decisions in Economics and Finance 1 Review of Derivatives Research 1 Journal of Industrial and Management Optimization 1 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 1 Advances in Applied Mathematics and Mechanics 1 Annals of Finance 1 East Asian Journal on Applied Mathematics all top 5 Cited in 15 Fields 42 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 20 Probability theory and stochastic processes (60-XX) 12 Numerical analysis (65-XX) 6 Statistics (62-XX) 4 Operations research, mathematical programming (90-XX) 3 Partial differential equations (35-XX) 3 Systems theory; control (93-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Computer science (68-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Biology and other natural sciences (92-XX) Citations by Year