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Rosella Castellano
Information about the author Rosella Castellano will soon be added to the site.
Found
4 papers
in total
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Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach
2012
This paper addresses the optimal consumption/investment problem in a mixed...
Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective
2014
Single‐name Credit Default Swaps (CDS) are considered the main providers of...
CDS volatility: the key signal of credit quality
2013
This paper investigates the role of CDS volatility in providing information concerning...
Long swings in exchange rates: a stochastic control approach
2007
A regime-switching model to describe the exchange rate dynamics is derived as solution...
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