Get started
Author

Nick Costanzino

Backtesting general spectral risk measures with application to expected shortfall
2015 · Nick Costanzino, Mike Curran · The Journal of Risk Model Validation · 58
A Simple Traffic Light Approach to Backtesting Expected Shortfall
2018 · Nick Costanzino, Mike Curran · Risks · 37
PDF
Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
2011 · Wen Cheng, Nick Costanzino, et al. · SIAM Journal on Financial Mathematics · 28
Empirical Performance of Backtesting Methods for Expected Shortfall
2015 · Simon Clift, Nick Costanzino, et al. · SSRN Electronic Journal · 10
Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model
2017 · Albert Cohen, Nick Costanzino · Risks · 8
PDF
Closed-Form Asymptotics for Local Volatility Models
2009 · Wen Cheng, Nick Costanzino, et al. · SSRN Electronic Journal · 5
Bond and CDS Pricing with Recovery Risk I: The Stochastic Recovery Merton Model
2015 · Albert Cohen, Nick Costanzino · SSRN Electronic Journal · 4
A General Framework for Incorporating Stochastic Recovery in Structural Models of Credit Risk
2017 · Albert Cohen, Nick Costanzino · Risks · 3
PDF
A Unified Framework for Default Modeling
2022 · Harvey J. Stein, Albert Cohen, et al. · SSRN Electronic Journal · 1
Merton’s model with recovery risk
2022 · Albert Cohen, Nick Costanzino · The Journal of Credit Risk · 1
Closed form asymptotics for local volatility models
2009 · Cheng, Wen, Costanzino, Nick, et al. · arXiv (Cornell University) · 1
PDF
Derivatives on Compute: Pricing Theory and Market Design for AI Infrastructure
2026 · Nick Costanzino · SSRN Electronic Journal
Closed form asymptotics for local volatility models
2009 · Wen Cheng, Nick Costanzino, et al. · RePEc: Research Papers in Economics
Large Banded Spherulites in Maleic Anhydride / Polyacrylonitrile Mixtures.
1998 · M.G. Degen, Nick Costanzino, et al. · APS March Meeting Abstracts
Works count: 15
Citation count: 156
H-index: 5
I10-index: 4
Year
Topic
Type