Posizione Accademica
Interessi di ricerca
Formazione
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
Finanza matematica, Matematica delle assicurazioni, Solvency II.
Accademic Position
Research interests
Study
Scientific publications
Quantitative Finance, Insurance Mathematics, Solvency II.