Browsing by Author Ballestra, Luca Vincenzo

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Showing results 1 to 7 of 7
Issue DateTitleAuthor(s)
2017Computing the survival probability in the Madan–Unal credit risk model: application to the CDS marketBallestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
2015Does the volatility of interest rates affect the value of investment projects? A real option investigationBallestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
2015The impact of the interest rate volatility on the valuation of investment strategiesBallestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
2016A note on Fergusson and Platen: "application of maximum likelihood estimation to stochastic short rate models"Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
2017Valuing investment projects under interest rate risk: empirical evidence from European firmsBallestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
2016A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motionBallestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide
2016A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in financeBallestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide