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Castagna, Antonio's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
5,267 |
Total
Citations
18 |
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1.
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Castagna, Antonio
Iason Ltd. Mercurio, Fabio
Bloomberg L.P.
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1,647
(3,937)
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4
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FX option, smile, consisten pricing, stochastic volatility
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2.
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Castagna, Antonio
Iason Ltd. Mercurio, Fabio
Bloomberg L.P. Mosconi, Paola
San Paolo IMI - Banca IMI
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02 Jun 09
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Last Revised:
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28 Aug 09
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737
(14,792)
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2
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Basel II, second pillar, credit VaR, analytical formula, contagion risk, sectoral risk, stochastic default probability, stochastic recovery, scenario
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3.
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Castagna, Antonio
Iason Ltd.
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605
(19,708)
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FX, option, stochastic volatility, uncertain volatiltiy, smile, VAR
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4.
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Barone, Emilio
Luiss - Guido Carli (Dpt. of Economics and Finance) Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Castagna, Antonio
Iason Ltd.
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601
(19,862)
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2
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5.
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Castagna, Antonio
Iason Ltd.
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19 Dec 11
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Last Revised:
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03 Jun 12
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325
(43,783)
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1
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collateral, CSA, liquidity value adjustment, LVA, funding value adjustment, FVA, derivatives, swap, FRA
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6.
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Castagna, Antonio
Iason Ltd.
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31 Jul 11
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Last Revised:
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31 Jan 12
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274
(53,597)
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1
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funding, liquidity, DVA, credit spread, funding value adjustment, FVA
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7.
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Castagna, Antonio
Iason Ltd.
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27 Jun 11
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Last Revised:
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20 Jul 11
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240
(61,753)
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5
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counterparty risk, CVA, DVA, funding, liquidity
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8.
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Castagna, Antonio
Iason Ltd.
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186
(80,166)
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1
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discrete monitored barrier, local time, slippage cost, hedging cost, ecb 37
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9.
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Castagna, Antonio
Iason Ltd.
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180
(82,621)
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1
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FVA, DVA, CVA, funding
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10.
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Castagna, Antonio
Iason Ltd.
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170
(87,310)
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1
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Liquidity Valued Adjustment, Funding Value Adjustment, CSA, collateral, FX swap, FX forward, outright, cross currency swap
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11.
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Barone, Emilio
Luiss - Guido Carli (Dpt. of Economics and Finance) Castagna, Antonio
Iason Ltd.
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106
(129,554)
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12.
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Castagna, Antonio
Iason Ltd.
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| Posted: |
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22 Jan 12
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Last Revised:
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31 May 12
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94
(140,793)
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Debit Value Adjustment, Hedging, counterparty risk, bank franchise, bilateral counterparty risk, credit value adjustment, CVA
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13.
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Castagna, Antonio
Iason Ltd. Mercurio, Fabio
Bloomberg L.P. Mosconi, Paola
affiliation not provided to SSRN
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83
(152,598)
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CDO pricing, moment matching, credit risk transfer, multifactor credit model
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14.
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Barone, Emilio
Luiss - Guido Carli (Dpt. of Economics and Finance) Castagna, Antonio
Iason Ltd.
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19
(278,416)
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Treasury Inflation-Protected Securities, Cox-Ingersoll-Ross model, Siegel's paradox
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15.
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Barone, Emilio
Luiss - Guido Carli (Dpt. of Economics and Finance) Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Castagna, Antonio
Iason Ltd.
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Records 1 -
15
of 15 matches
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1
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