Follow
Nick Costanzino
Nick Costanzino
Jefferies & NYU
Verified email at jefferies.com
Title
Cited by
Cited by
Year
Backtesting general spectral risk measures with application to expected shortfall
N Costanzino, M Curran
Available at SSRN 2514403, 2015
792015
A simple traffic light approach to backtesting expected shortfall
N Costanzino, M Curran
Risks 6 (1), 2, 2018
542018
Solitary waves of the regularized short pulse and Ostrovsky equations
N Costanzino, V Manukian, CKRT Jones
SIAM journal on mathematical analysis 41 (5), 2088-2106, 2009
492009
Closed-form asymptotics and numerical approximations of 1D parabolic equations with applications to option pricing
W Cheng, N Costanzino, J Liechty, A Mazzucato, V Nistor
SIAM Journal on Financial Mathematics 2 (1), 901-934, 2011
40*2011
Spectral stability of noncharacteristic isentropic Navier–Stokes boundary layers
N Costanzino, J Humpherys, T Nguyen, K Zumbrun
Archive for rational mechanics and analysis 192 (3), 537-587, 2009
25*2009
Approximate solutions to second order parabolic equations I: analytical estimates
R Costantinescu, N Costanzino, AL Mazzucato, V Nistor
Journal of Mathematical Physics 51 (103502), 26, 2010
212010
Existence and stability of curved multidimensional detonation fronts
N Costanzino, HK Jenssen, G Lyng, M Williams
Indiana University mathematics journal, 1405-1461, 2007
202007
Bond and CDS Pricing via the stochastic recovery Black-Cox model
A Cohen, N Costanzino
Risks 5 (2), 26, 2017
14*2017
On the properties of large banded spherulites in a maleic anhydride–polyacrylonitrile mixture
MM Degen, N Costanzino, J Bechhoefer
Journal of crystal growth 209 (4), 953-962, 2000
142000
Empirical performance of backtesting methods for expected shortfall
S Clift, N Costanzino, M Curran
Available at SSRN 2618345, 2016
132016
Existence of multi-pulses of the regularized short-pulse and Ostrovsky equations
V Manukian, N Costanzino, CKRT Jones, B Sandstede
Journal of Dynamics and Differential Equations 21, 607-622, 2009
122009
A general framework for incorporating stochastic recovery in structural models of credit risk
A Cohen, N Costanzino
Risks 5 (4), 65, 2017
52017
Bond and CDS Pricing with Recovery Risk II: The Stochastic Recovery Black-Cox Model
A Cohen, N Costanzino
Available at SSRN 2579345, 2017
52017
Approximate solutions to second order parabolic equations. III: The degenerate case
W Cheng, R Costantinescu, N Costanzino, AL Mazzucato, V Nistor
preparation, 0
5
Symmetric solutions to multi-dimensional conservation laws
N Costanzino, HK Jenssen
publication from the 9, 2008
42008
Existence of topologically cylindrical shocks
N Costanzino
Comptes Rendus Mathematique 346 (5-6), 283-286, 2008
22008
Merton’s model with recovery risk
A Cohen, N Costanzino
Journal of Credit Risk 18 (2), 2022
12022
A unified framework for default modeling
HJ Stein, A Cohen, N Costanzino
Available at SSRN 4098129, 2022
12022
Merton Model with Stochastic Recovery
A Cohen, N Costanzino
Journal of Credit Risk (), 2014
12014
Existence and stability of nonlinear wave structures in one and several space dimensions
ND Costanzino
Brown University, 2006
12006
The system can't perform the operation now. Try again later.
Articles 1–20