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COSMA Antonio

Main Referenced Co-authors
Scaillet, Olivier (7)
Galluccio, Stefano (6)
Pederzoli, Paola (6)
KOSTYRKA, Andreï  (3)
TRIPATHI, Gautam  (3)
Main Referenced Keywords
ACD (1); American option (1); B-splines (1); Bermudan option (1); Comovement Financial integration (1);
Main Referenced Disciplines
Finance (8)
Quantitative methods in economics & management (6)
International economics (1)

Publications (total 15)

The most downloaded
55 downloads
Cosma, A., & Galli, F. (2019). A nonparametric ACD model. In J. Chevalier, S. Goutte, D. Guerreiro, S. Saglio, ... B. Sanhaji, Financial Mathematics, Volatility and Covariance Modelling (pp. 122-144). London, United Kingdom: Routledge, Taylor \& Francis. doi:10.4324/9781315162737 https://hdl.handle.net/10993/39918

The most cited

145 citations (OpenCitations)

Cosma, A., Beine, M., & Vermeulen, R. J. G. (2010). The Dark side of global integration: increasing tail dependance. Journal of Banking and Finance, 34 (1), 184-192. doi:10.1016/j.jbankfin.2009.07.014 https://hdl.handle.net/10993/5647

COSMA, A., KOSTYRKA, A., & TRIPATHI, G. (2024). Missing endogenous variables in conditional moment restriction models. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/60100.

Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (February 2020). Early exercise decision in american options with dividends, stochastic volatility, and jumps. Journal of Financial and Quantitative Analysis, 55 (1), 331-356. doi:10.1017/S0022109018001229
Peer Reviewed verified by ORBi

Cosma, A., & Galli, F. (2019). A nonparametric ACD model. In J. Chevalier, S. Goutte, D. Guerreiro, S. Saglio, ... B. Sanhaji, Financial Mathematics, Volatility and Covariance Modelling (pp. 122-144). London, United Kingdom: Routledge, Taylor \& Francis. doi:10.4324/9781315162737

Cosma, A., Kostyrka, A., & Tripathi, G. (2019). Inference in Conditional Moment Restriction Models When there is Selection Due to Stratification. In K. P. Huynh, D. T. Jacho-Chávez, ... G. Tripathi (Eds.), The Econometrics of Complex Survey Data (pp. 137-171). United Kingdom: Emerald Publishing Limited. doi:10.1108/S0731-905320190000039010
Peer reviewed

Cosma, A., Kostyrka, A., & Tripathi, G. (2017). Inference in conditional moment restriction models when there is selection due to stratification. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/33040.

Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (December 2016). Valuing American options using fast recursive projections [Paper presentation]. 14th Paris December Finance Meeting.

Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (July 2016). Valuing American options using fast recursive projections [Paper presentation]. StochMod 2016.

Cosma, A., & Galli, F. (June 2016). Indirect inference for nonlinear panel data [Paper presentation]. 48th Scientific meeting of the Italian statistical society.

Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (May 2016). Valuing American options using fast recursive projections [Paper presentation]. 33rd French Finance Association Conference.

Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (2015). Valuing American options using fast recursive projections. ORBilu-University of Luxembourg. https://orbilu.uni.lu/handle/10993/25355.

Cosma, A., Galluccio, S., Pederzoli, P., & Scaillet, O. (April 2014). Valuing American options using fast recursive projections [Paper presentation]. Mathematical and Statistical Methods for Actuarial Sciences and Finance, Vietri sul Mare, Italy.

Cosma, A. (2014). Algorithmes et marchés d'options. D'Lëtzebuerger Land.

Cosma, A. (16 July 2013). Valuing American options using fast recursive projections [Paper presentation]. Quantitative Economics Conference (QEC2013), Beijing, China.

Cosma, A., Beine, M., & Vermeulen, R. J. G. (2010). The Dark side of global integration: increasing tail dependance. Journal of Banking and Finance, 34 (1), 184-192. doi:10.1016/j.jbankfin.2009.07.014
Peer Reviewed verified by ORBi

Cosma, A., Scaillet, O., & Von Sachs, R. (2007). Multivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations. Bernoulli, 13 (2), 301-329. doi:10.3150/07-BEJ5066
Peer reviewed

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