Posizione Accademica

• Professore a contratto - Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie - Dipartimento di Scienze per l'Economia e l'Impresa, Università di Firenze, Via delle Pandette 9,  Firenze.
• Abilitato alle funzioni di Professore di Seconda Fascia -  Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie  - Settore 13/D4.

Interessi di ricerca

• Finanza matematica, Matematica delle assicurazioni, Solvency II.

Formazione

• Laurea in Scienze Statistiche ed Economiche - Università degli Studi di Palermo - 2003.
• Master in Finanza - Collegio Carlo Alberto, Torino - Università degli Studi di Torino.
• Dottorato di Ricerca in Metodi Computazionali per le Previsioni e Decisioni Economiche e Finanziarie - Università degli Studi di Bergamo - 2011.

Pubblicazioni scientifiche

Russo V, Giacometti R, Fabozzi F J (2019). Market implied volatilities for defaultable bonds. ANNALS OF OPERATIONS RESEARCH, vol. 275, p. 669–683, ISSN 0254-5330, doi: https://doi.org/10.1007/s10479-018-3064-z

Russo V, Torri G (2019). Calibration of one-factor and two-factor Hull–White models using swaptions. COMPUTATIONAL MANAGEMENT SCIENCE, vol. 16, p. 275–295, ISSN 1619-6988, doi: https://doi.org/10.1007/s10287-018-0323-z

Russo V, Fabozzi F J (2017). Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model. THE JOURNAL OF FIXED INCOME, vol. 27, p. 30-36, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2017.27.2.030

Russo V, Fabozzi F J (2017). Calibrating Short Interest Rate Models in Negative Rate Environments. THE JOURNAL OF DERIVATIVES, vol. 24, p.80-92, ISSN: 1074-1240, doi: https://doi.org/10.3905/jod.2017.24.4.080

Russo V, Giacometti R, Fabozzi F J (2017). Intensity-based framework for surrender modeling in life insurance.
INSURANCE MATHEMATICS & ECONOMICS, vol. 72, p. 189-196, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2016.11.001

Patel J, Russo V, Fabozzi F J (2017). Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies. FINANCE RESEARCH LETTERS, ISSN: 1544-6123, doi: https://doi.org/10.1016/j.frl.2017.10.013

Russo V, Fabozzi F J (2016). A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling. THE JOURNAL OF FIXED INCOME, vol. 25, p. 36-45, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.3.036

Russo V, Fabozzi F J (2016). Pricing Coupon Bond Options and Swaptions under the One-Factor Hull–White Model. THE JOURNAL OF FIXED INCOME, vol. 25, p. 76-82, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.4.076

Russo V, Giacometti R, Rachev S, Fabozzi F J (2015). A Three-Factor Model for Mortality Modeling. NORTH AMERICAN ACTUARIAL JOURNAL, vol. 19, p. 129-141, ISSN: 1092-0277, doi: 10.1080/10920277.2015.1015262

Russo V, Giacometti R, Ortobelli Lozza S, Rachev S T, Fabozzi F J (2011). Calibrating affine stochastic mortality models using term assurance premiums. INSURANCE MATHEMATICS & ECONOMICS, vol. 49, p. 53-60, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2011.01.015

Russo V (2009). Autoregressive conditional moments in VaR estimate with Gram-Charlier and Cornish-Fisher expansions. INTERNATIONAL JOURNAL OF RISK ASSESSMENT AND MANAGEMENT, vol. 11, p. 67-87, ISSN: 1466-8297, doi: 10.1504/IJRAM.2009.022198

Posizione Accademica

• Professore a contratto - Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie - Dipartimento di Scienze per l'Economia e l'Impresa, Università di Firenze, Via delle Pandette 9,  Firenze.
• Abilitato alle funzioni di Professore di Seconda Fascia -  Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie  - Settore 13/D4.

Interessi di ricerca

• Finanza matematica, Matematica delle assicurazioni, Solvency II.

Formazione

• Laurea in Scienze Statistiche ed Economiche - Università degli Studi di Palermo - 2003.
• Master in Finanza - Collegio Carlo Alberto, Torino - Università degli Studi di Torino.
• Dottorato di Ricerca in Metodi Computazionali per le Previsioni e Decisioni Economiche e Finanziarie - Università degli Studi di Bergamo - 2011.

Pubblicazioni scientifiche

Russo V, Giacometti R, Fabozzi F J (2019). Market implied volatilities for defaultable bonds. ANNALS OF OPERATIONS RESEARCH, vol. 275, p. 669–683, ISSN 0254-5330, doi: https://doi.org/10.1007/s10479-018-3064-z

Russo V, Torri G (2019). Calibration of one-factor and two-factor Hull–White models using swaptions. COMPUTATIONAL MANAGEMENT SCIENCE, vol. 16, p. 275–295, ISSN 1619-6988, doi: https://doi.org/10.1007/s10287-018-0323-z

Russo V, Fabozzi F J (2017). Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model. THE JOURNAL OF FIXED INCOME, vol. 27, p. 30-36, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2017.27.2.030

Russo V, Fabozzi F J (2017). Calibrating Short Interest Rate Models in Negative Rate Environments. THE JOURNAL OF DERIVATIVES, vol. 24, p.80-92, ISSN: 1074-1240, doi: https://doi.org/10.3905/jod.2017.24.4.080

Russo V, Giacometti R, Fabozzi F J (2017). Intensity-based framework for surrender modeling in life insurance.
INSURANCE MATHEMATICS & ECONOMICS, vol. 72, p. 189-196, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2016.11.001

Patel J, Russo V, Fabozzi F J (2017). Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies. FINANCE RESEARCH LETTERS, ISSN: 1544-6123, doi: https://doi.org/10.1016/j.frl.2017.10.013

Russo V, Fabozzi F J (2016). A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling. THE JOURNAL OF FIXED INCOME, vol. 25, p. 36-45, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.3.036

Russo V, Fabozzi F J (2016). Pricing Coupon Bond Options and Swaptions under the One-Factor Hull–White Model. THE JOURNAL OF FIXED INCOME, vol. 25, p. 76-82, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.4.076

Russo V, Giacometti R, Rachev S, Fabozzi F J (2015). A Three-Factor Model for Mortality Modeling. NORTH AMERICAN ACTUARIAL JOURNAL, vol. 19, p. 129-141, ISSN: 1092-0277, doi: 10.1080/10920277.2015.1015262

Russo V, Giacometti R, Ortobelli Lozza S, Rachev S T, Fabozzi F J (2011). Calibrating affine stochastic mortality models using term assurance premiums. INSURANCE MATHEMATICS & ECONOMICS, vol. 49, p. 53-60, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2011.01.015

Russo V (2009). Autoregressive conditional moments in VaR estimate with Gram-Charlier and Cornish-Fisher expansions. INTERNATIONAL JOURNAL OF RISK ASSESSMENT AND MANAGEMENT, vol. 11, p. 67-87, ISSN: 1466-8297, doi: 10.1504/IJRAM.2009.022198

Interessi di ricerca

Finanza matematica, Matematica delle assicurazioni, Solvency II.

Accademic Position

• Adjunct professor - Mathematical Methods in Economics and Actuarial and Financial Sciences - Department of Economics and Management, School of Economics, University of Firenze, Via delle Pandette 9, Firenze.
• Qualified as Associate Professor - Mathematical Methods in Economics and Actuarial and Financial Sciences - Sector 13/D4.

Research interests

• Quantitative Finance, Insurance Mathematics, Solvency II.

Study

• Degree in Statistics and Economics - University of Palermo - 2003.
• Master in Finance - Collegio Carlo Alberto, Turin - University of Turin.
• Ph.D. in Computational Methods for Forecasting and Decisions in Economics and Finance - University of Bergamo - 2011.

Scientific publications

Russo V, Giacometti R, Fabozzi F J (2019). Market implied volatilities for defaultable bonds. ANNALS OF OPERATIONS RESEARCH, vol. 275, p. 669–683, ISSN 0254-5330, doi: https://doi.org/10.1007/s10479-018-3064-z

Russo V, Torri G (2019). Calibration of one-factor and two-factor Hull–White models using swaptions. COMPUTATIONAL MANAGEMENT SCIENCE, vol. 16, p. 275–295, ISSN 1619-6988, doi: https://doi.org/10.1007/s10287-018-0323-z

Russo V, Fabozzi F J (2017). Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model. THE JOURNAL OF FIXED INCOME, vol. 27, p. 30-36, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2017.27.2.030

Russo V, Fabozzi F J (2017). Calibrating Short Interest Rate Models in Negative Rate Environments. THE JOURNAL OF DERIVATIVES, vol. 24, p.80-92, ISSN: 1074-1240, doi: https://doi.org/10.3905/jod.2017.24.4.080

Russo V, Giacometti R, Fabozzi F J (2017). Intensity-based framework for surrender modeling in life insurance.
INSURANCE MATHEMATICS & ECONOMICS, vol. 72, p. 189-196, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2016.11.001

Patel J, Russo V, Fabozzi F J (2017). Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies. FINANCE RESEARCH LETTERS, ISSN: 1544-6123, doi: https://doi.org/10.1016/j.frl.2017.10.013

Russo V, Fabozzi F J (2016). A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling. THE JOURNAL OF FIXED INCOME, vol. 25, p. 36-45, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.3.036

Russo V, Fabozzi F J (2016). Pricing Coupon Bond Options and Swaptions under the One-Factor Hull–White Model. THE JOURNAL OF FIXED INCOME, vol. 25, p. 76-82, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.4.076

Russo V, Giacometti R, Rachev S, Fabozzi F J (2015). A Three-Factor Model for Mortality Modeling. NORTH AMERICAN ACTUARIAL JOURNAL, vol. 19, p. 129-141, ISSN: 1092-0277, doi: 10.1080/10920277.2015.1015262

Russo V, Giacometti R, Ortobelli Lozza S, Rachev S T, Fabozzi F J (2011). Calibrating affine stochastic mortality models using term assurance premiums. INSURANCE MATHEMATICS & ECONOMICS, vol. 49, p. 53-60, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2011.01.015

Russo V (2009). Autoregressive conditional moments in VaR estimate with Gram-Charlier and Cornish-Fisher expansions. INTERNATIONAL JOURNAL OF RISK ASSESSMENT AND MANAGEMENT, vol. 11, p. 67-87, ISSN: 1466-8297, doi: 10.1504/IJRAM.2009.022198

Accademic Position

• Adjunct professor - Mathematical Methods in Economics and Actuarial and Financial Sciences - Department of Economics and Management, School of Economics, University of Firenze, Via delle Pandette 9, Firenze.
• Qualified as Associate Professor - Mathematical Methods in Economics and Actuarial and Financial Sciences - Sector 13/D4.

Research interests

• Quantitative Finance, Insurance Mathematics, Solvency II.

Study

• Degree in Statistics and Economics - University of Palermo - 2003.
• Master in Finance - Collegio Carlo Alberto, Turin - University of Turin.
• Ph.D. in Computational Methods for Forecasting and Decisions in Economics and Finance - University of Bergamo - 2011.

Scientific publications

Russo V, Giacometti R, Fabozzi F J (2019). Market implied volatilities for defaultable bonds. ANNALS OF OPERATIONS RESEARCH, vol. 275, p. 669–683, ISSN 0254-5330, doi: https://doi.org/10.1007/s10479-018-3064-z

Russo V, Torri G (2019). Calibration of one-factor and two-factor Hull–White models using swaptions. COMPUTATIONAL MANAGEMENT SCIENCE, vol. 16, p. 275–295, ISSN 1619-6988, doi: https://doi.org/10.1007/s10287-018-0323-z

Russo V, Fabozzi F J (2017). Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model. THE JOURNAL OF FIXED INCOME, vol. 27, p. 30-36, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2017.27.2.030

Russo V, Fabozzi F J (2017). Calibrating Short Interest Rate Models in Negative Rate Environments. THE JOURNAL OF DERIVATIVES, vol. 24, p.80-92, ISSN: 1074-1240, doi: https://doi.org/10.3905/jod.2017.24.4.080

Russo V, Giacometti R, Fabozzi F J (2017). Intensity-based framework for surrender modeling in life insurance.
INSURANCE MATHEMATICS & ECONOMICS, vol. 72, p. 189-196, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2016.11.001

Patel J, Russo V, Fabozzi F J (2017). Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies. FINANCE RESEARCH LETTERS, ISSN: 1544-6123, doi: https://doi.org/10.1016/j.frl.2017.10.013

Russo V, Fabozzi F J (2016). A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling. THE JOURNAL OF FIXED INCOME, vol. 25, p. 36-45, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.3.036

Russo V, Fabozzi F J (2016). Pricing Coupon Bond Options and Swaptions under the One-Factor Hull–White Model. THE JOURNAL OF FIXED INCOME, vol. 25, p. 76-82, ISSN: 1059-8596, doi: https://doi.org/10.3905/jfi.2016.25.4.076

Russo V, Giacometti R, Rachev S, Fabozzi F J (2015). A Three-Factor Model for Mortality Modeling. NORTH AMERICAN ACTUARIAL JOURNAL, vol. 19, p. 129-141, ISSN: 1092-0277, doi: 10.1080/10920277.2015.1015262

Russo V, Giacometti R, Ortobelli Lozza S, Rachev S T, Fabozzi F J (2011). Calibrating affine stochastic mortality models using term assurance premiums. INSURANCE MATHEMATICS & ECONOMICS, vol. 49, p. 53-60, ISSN: 0167-6687, doi: 10.1016/j.insmatheco.2011.01.015

Russo V (2009). Autoregressive conditional moments in VaR estimate with Gram-Charlier and Cornish-Fisher expansions. INTERNATIONAL JOURNAL OF RISK ASSESSMENT AND MANAGEMENT, vol. 11, p. 67-87, ISSN: 1466-8297, doi: 10.1504/IJRAM.2009.022198

Research interests

Quantitative Finance, Insurance Mathematics, Solvency II.