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Massimo COSTABILE - Professori Ordinari

Massimo COSTABILE

Professori Ordinari

Metodi matematici dell'economia e delle scienze attuariali e finanziarie (STAT-04/A)

Contacts
Reception Hours

Thursday 3pm - 5 pm, Cubo 3 C, third floor.

Full Professor of Mathematical Methods for Economics, Actuarial and Financial Sciences. He is currently Director of the Department of Economics, Statistics and Finance "Giovanni Anania". Professor of Quantitative Models in Finance in the Master's degree course in Finance and Insurance and of Financial Mathematics in the degree course in Mathematics. His main research interests concern numerical and analytical methods for the valuation and management of complex derivative securities and life insurance policies

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CURRICULUM VITAE Massimo Costabile Università della Calabria Dipartmento di Economia, Statistica e Finanza “Giovanni Anania” Ponte Bucci Cubo 3 C - 87036 - Rende (CS) - Italy Telefono: ++39984492258 e-mail: massimo.costabile@unical.it ________________________________________________________________________________ Dati Personali Data di nascita: 27 novembre 1970 Luogo di nascita: Cosenza Cittadinanza: Italiana Stato: coniugato Carriera accademica Professore ordinario del settore scientifico-disciplinare SECS-S/06 (Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie) (2015-present) Professore associato del settore scientifico-disciplinare SECS-S/06 (Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie) (2001-2015) Ricercatore del settore scientifico-disciplinare SECS-S/06 (Metodi Matematici dell'Economia e delle Scienze Attuariali e Finanziarie) (1996 - 2001) Formazione Laurea in Scienze Economiche e Sociali, Università della Calabria, 1993 Dottorato di Ricerca in Scienze Attuariali, Università Sapienza di Roma 1996 Attività didattica 1996-2006: Matematica attuariale, Tecnica attuariale delle assicurazioni contro i danni, Matematica Finanziaria 2007-2015: Modelli matematici per i mercati Finanziari, Matematica Finanziaria 2016-present: Quantitative Models in Finance, Matematica Finanziaria Interessi di ricerca Finanza computazionale, Valutazione di polizze assicurative sulla vita Attività di referaggio Decisions in Economics and Finance, Review of Quantitative Finance and Accounting, ASTIN Bulletin, Journal of Computational and Applied Mathematics, The Journal of Derivatives, Journal of Risk and Insurance, Journal of Futures Markets, Quantitative Finance, European Journal of Finance, International Journal of Computer Mathematics, Insurance: Mathematics and Economics, Mathematical Finance, Applied Mathematics and Computations, International Journal of Theoretical and Applied Finance Compiti amministrativi Direttore del Dipartimento di Economica, Statistica e Finanza “Giovanni Anania”, Università della Calabria Pubblicazioni più significative Costabile M., (2021). A Bivariate Lattice Model to Compute Risk Measures in Life Insurance Policies. The Journal of Derivatives, 28 (3), 123-139 Costabile M., Viviano F., (2021). Modeling the Future Value Distribution of a Life Insurance Portfolio. Risks, 9, 177, 1-17 Costabile M., Viviano F., (2020), Testing the Least-Squares Monte Carlo Method for the Evaluation of Capital Requirements in Life Insurance. Risks, 8, 2, 1-13 Costabile M., Massabò I., Russo E., (2020). Evaluating variable annuities with GMWB when exogenous factors influence the policy-holder's withdrawals. European Journal of Finance, 26, 2-3, 238-257 Costabile M., (2018). Computing Risk Measures of Life Insurance Policies through the Cox-Ross-Rubinstein Model. The Journal of Derivatives, 26, 2, 86-94 Costabile M., Massabò I., Russo E., (2018). A shifted tree model for the efficient evaluation of options with fixed dividends, IMA Journal of Management Mathematics, 29, 1, 39-51 Costabile, M., Gaudenzi, M. (2017) Fair evaluation of life insurance policies with periodic rebalancing between asset portfolios and interest rate guarantee, Applied Mathematical Sciences, 11, 3033-3050 Costabile M. (2017). A Lattice-Based model to Evaluate Variable Annuities with Guaranteed Minimum Withdrawal Benefits under a Regime-Switching Model. Scandinavian Actuarial Journal, 3, 231-244 Costabile M., Massabò I., Russo E. (2015). Computing Finite-Time Survival Probabilities Using Multinomial Approximations of Risk Models. Scandinavian Actuarial, 5, 406-422 Costabile M. (2015). A Fast and Accurate Lattice Model to Evaluate Options under the Variance Gamma Process. International Journal of Applied Mathematics, 28, 1-22 Costabile M., Leccadito A., Massabò I., Russo E. (2014). A Reduced Lattice Model for Option Pricing under Regime-Switching. Review of Quantitative Finance and Accounting, 42, 667-690 Costabile M., Leccadito A., Massabò I., Russo E. (2014). Option Pricing Under Regime-Switching Jump-Diffusion Models. Journal of Computational and Applied Mathematics, 256, 152-167 Costabile M (2013). Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee. Insurance: Mathematics & Economics, 53, 597-600 Beraldi P., Costabile M, De Simone F., Massabo' I., Russo E., Violi A. (2013). A multistage stochastic programming approach for capital budgeting problems under uncertainty. IMA Journal of Management Mathematics, 24, 1, 89-110. Costabile M, Massabò I., Russo E. (2013). A path-independent humped volatility model for option pricing. Applied Mathematical Finance, 20, 3, 191-210 Costabile M., Massabò I., Russo E. (2012). On Pricing Contingent Claims Under the Double Heston Model. International Journal of Theoretical And Applied Finance, 15, 5, 1-27 Costabile M., Massabo' I., Russo E. (2012). A forward shooting grid method for option pricing with stochastic volatility. The Journal of Derivatives, 20, 2, 67-78 Costabile M., Massabo' I., Russo E. (2011). Fair Valuation of Equity-Linked Policies under Insurer Default Risk. North American Actuarial Journal, 15, 517-534 Costabile M., Massabo', I., Russo, E. (2011). On pricing arithmetic average reset options with multiple reset dates in a lattice framework. Journal of Computational And Applied Mathematics, 235, 5307-5325 Costabile M., Massabo' I, Russo E (2010). A binomial approximation for two-state Markovian HJM models. Review of Derivatives Research, 3, 79-102 Costabile M., Massabò I. (2010). On Computing Stock Price Greeks within the Cox-Ross-Rubinstein Model. In: CHENG FEW LEE. Advances in Quantitative Analysis of Finance and Accounting. 8, 169-188, TAIPEI:Center for Pacific Basin Business, Economics and Finance Costabile M., Massabò I, Russo E. (2010). A binomial model for pricing US-style average options with reset features. International Journal of Financial Markets and Derivatives, 1, 45-63 Costabile M., Massabo' I. (2010). A Simplified Approach to Approximate Diffusion Processes Widely Used in Finance. The Journal of Derivatives, 17, 65-85 Costabile M., Gaudenzi M., Massabo' I., Zanette A. (2009). Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model. Insurance: Mathematics & Economics, 45, 286-295 Costabile M., Leccadito A., Massabo' I. (2009). Computationally simple lattice methods for option and bond pricing. Decisions in Economics and Finance, 32, 161-181 Costabile M., Massabo' I., Russo E. (2008). A binomial model for valuing equity-linked policies embedding surrender options. Insurance: Mathematics & Economics, 42, 873-886, Costabile M., Massabo' I., Russo E. (2007). A Lattice based model for pricing equity-linked policies with embedded surrender options. Giornale dell'istituto Italiano degli Attuari, LXX, 1-20 Costabile M. (2006). On pricing lookback options under the CEV process. Decisions in Economics and Finance, 29, 2, 139-154 Costabile M., Massabo' I., Russo E. (2006). An adjusted binomial model for pricing Asian options. Review of Quantitative Finance and Accounting, 27, 285-296 Costabile M. (2002). A combinatorial approach for pricing Parisian options. Decisions in Economics and Finance, 25, 2, 111-125 Costabile M. (2002). Extending the Cox-Ross-Rubinstein algorithm for pricing options with exponential boundaries. In: Algoritmy 2002 16th Conference on Scientific Computing - Visoke Tatry - Podbanske, Slovakia - September 8-13 Costabile M. (2001). A discrete-time algorithm for pricing double barrier options. Decisions in Economics and Finance, 24, 49-58 Consiglio A., Costabile M., Mari C., Massabo' I. (2001). La valutazione di opzioni implicite nei mutui bancari. In: Nuove tendenze dell'Asset & Liability Management nella banca. vol. 22, p. 105-128, Milano: Edibank-Bancaria Editrice
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Contacts
Reception Hours

Thursday 3pm - 5 pm, Cubo 3 C, third floor.