Antonio Cosma

Université du Luxembourg

Associate Professor

4, rue Albert Borschette

Luxembourg, L-1246

Luxembourg

SCHOLARLY PAPERS

5

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CITATIONS
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12

Scholarly Papers (5)

Valuing American Options Using Fast Recursive Projections

Number of pages: 69 Posted: 25 Jun 2012 Last Revised: 15 Mar 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Downloads 216 (117,939)

Abstract:

Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Downloads 34 (393,403)

Abstract:

Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

The Dark Side of Global Integration: Increasing Tail Dependence

CREA Discussion Paper No. 2008-03, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 33 Posted: 25 Aug 2008 Last Revised: 02 Oct 2011
University of Luxemburg, Université du Luxembourg and De Nederlandsche Bank
Downloads 133 (182,225)
Citation 10

Abstract:

stock market comovement, trade integration, financial integration

The Dark Side of Global Integration: Increasing Tail Dependence

Number of pages: 33 Posted: 16 Feb 2009
University of Luxemburg, Université du Luxembourg and De Nederlandsche Bank
Downloads 34 (393,403)
Citation 10

Abstract:

stock market comovement, trade integration, financial integration

3.

Multivariate Wavelet-based Shape Preserving Estimation for Dependent Observations

FAME Research Paper No. 144
Number of pages: 39 Posted: 01 Jun 2005
Antonio Cosma, O. Scaillet and Rainer von Sachs
Université du Luxembourg, University of Geneva GSEM and GFRI and Catholic University of Louvain - Department of Statistics
Downloads 136 (174,357)

Abstract:

Conditional quantile, time series, shape preserving wavelet estimation, B-splines, multivariate process.

4.

A Nonparametric ACD Model

CORE Discussion Paper No. 2006/67
Number of pages: 23 Posted: 14 Nov 2006
Antonio Cosma and Fausto Galli
Université du Luxembourg and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 134 (170,495)
Citation 2

Abstract:

nonparametric, ACD, trade durations, local-linear

5.

Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Swiss Finance Institute Research Paper No. 16-73
Number of pages: 71 Posted: 09 Dec 2016
Université du Luxembourg, BNP Paribas Fixed Income, University of Geneva and University of Geneva GSEM and GFRI
Downloads 0 (296,110)

Abstract: