Financial Risk Modeling with Markov Chains. - Arturo Leccadito; Sergio Ortobelli Lozza; Emilio Russo; Gaetano Iaquinta (IDEAL, 2006)

Option pricing under regime-switching jump-diffusion models. - Massimo Costabile; Arturo Leccadito; Ivar Massabò; Emilio Russo (J. Comput. Appl. Math., 2014)

Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. - Alessandro Staino; Emilio Russo; Massimo Costabile; Arturo Leccadito (Comput. Manag. Sci., 2023)

Co-movements, option pricing and risk management: an application to WTI versus Brent spread options. - Domenico De Giovanni; Arturo Leccadito; Debora Loccisano (Ann. Oper. Res., 2024)