Giuseppe Xella

University of Naples Federico II

Ph.D.

via Cinthia

Dipartimento di Matematica e Statistica

Naples, Naples 80126

Italy

SCHOLARLY PAPERS

3

DOWNLOADS

106

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Embedded Option in Pension Funds: The Case of Conditional Indexation Policy

Number of pages: 10 Posted: 18 Jan 2010 Last Revised: 21 Jan 2015
Angela Gallo, Rosa Cocozza and Giuseppe Xella
Cass Business School, University of Naples Federico II - Faculty of Economics and University of Naples Federico II
Downloads 106 (306,386)

Abstract:

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Conditional indexation, barrier option, liabilities valuation, pension fund

2.

Valuation of the Conditional Indexation Option in Asset and Liability Management of Defined Benefit Pension Funds

MATHEMATICAL AND STATISTICAL METHODS FOR INSURANCE AND FINANCE, C. Perna, M. Sibillo, eds., Springer Verlag, Forthcoming
Posted: 18 Jan 2011
Rosa Cocozza, Angela Gallo and Giuseppe Xella
University of Naples Federico II - Faculty of Economics, Cass Business School and University of Naples Federico II

Abstract:

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Conditional indexation, ALM, barrier option, pension funds

3.

The Fair Value of Pension Liabilities: The Case of Embedded Option in Scenario Analysis

Investment Innovations and Financial Management, Vol. 7, pp. 36-45, 2010
Posted: 09 Jan 2011
Rosa Cocozza, Angela Gallo and Giuseppe Xella
University of Naples Federico II - Faculty of Economics, Cass Business School and University of Naples Federico II

Abstract:

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Conditional Indexation, Barrier Option, Liabilities Valuation, Pension Fund

Other Papers (1)

Total Downloads: 16
1.

Outside Barrier Option E Correlation Digtal Option: Una Applicazione Numerica (Italian)

Number of pages: 26 Posted: 16 Jan 2010 Last Revised: 02 Feb 2010
Giuseppe Xella
University of Naples Federico II
Downloads 16

Abstract:

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value driver, option