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Working Paper
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Author
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Subject |
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Elisa Luciano and Elena Vigna |
A note on stochastic survival probabilities and their calibration (Download) | |
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Massimo Marinacci and Luigi Montrucchio |
On concavity and supermodularity (Download) | |
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Elisa Luciano and Elena Vigna |
Non mean
reverting affine processes for stochastic mortality (Download), (published in Belgium Actuarial Bulletin,
8 (1), 2008, 5-16). |
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Lancelot F. James, Antonio Lijoi, and Igor Prünster |
Bayesian
Inference via Classes of Normalized Random Measures (Download), (published in the
Scandinavian Journal of Statistics, 36, 2009, 76-97). |
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Elisa Luciano and Wim Schoutens |
A Multivariate
Jump-Driven Financial Asset Model (Download),
(published
in Quantitative Finance, 6 (5),October 2006, 385-402). |
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Elisa Luciano |
Calibrating
risk-neutral default correlation (Download),
(published
in the Journal of Risk Finance, 8 (5), 2007, 450-64). |
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| 30/05 |
Luigi Montrucchio and
Marco Scarsini
|
Large Newsvendor Games (Download) |