Concepedia

Nick Costanzino

NC

Statistics

Publications

6

Citations

154

H-Index

6

Active since

2011

Affiliations

New York University(Current)

Nick Costanzino is an author at New York University specializing in risk measurement, expected shortfall, and risk theory.

Publications per year

2011–2018

6

Publications

6

Backtesting general spectral risk measures with application to expected shortfall

Nick Costanzino, Mike Curran · The Journal of Risk Model Validation · 2015 · 39 citations

, , +16

Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

Wen Cheng, Nick Costanzino, John Liechty et al. · SIAM Journal on Financial Mathematics · 2011 · 32 citations

, , +14

A Simple Traffic Light Approach to Backtesting Expected Shortfall

Nick Costanzino, Michael Curran · Risks · 2018 · 29 citations · Full text

, , +16

Backtesting General Spectral Risk Measures with Application to Expected Shortfall

Nick Costanzino, Mike Curran · SSRN Electronic Journal · 2014 · 28 citations · Full text

, , +16

Closed-form asymptotics and numerical approximations of 1{D} parabolic equations with applications to option pricing

Victor Nistor, Wen Cheng, Nick Costanzino et al. · RePEc: Research Papers in Economics · 2011 · 15 citations

, , +15

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