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Barone-Adesi, Giovanni's
Scholarly Papers
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Total
Downloads
9,146 |
Total
Citations
55 |
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1.
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A GARCH Option Pricing Model with Filtered Historical Simulation
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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15 Oct 04
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Last Revised:
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29 Jul 10
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2,180
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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G13
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Engle, Robert F.
New York University - Leonard N. Stern School of Business - Department of Economics Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne
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15 Oct 04
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Last Revised:
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29 Apr 08
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2,180
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Option pricing, GARCH model, state price density, Monte Carlo simulation
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2.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Rasmussen, Henrik
J.P. Morgan and Co. Ravanelli, Claudia
Swiss Finance Institute at EPFL (Ecole Polytechnique Fédérale de Lausanne)
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979
(9,569)
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5
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Option pricing, Stochastic volatility models, GARCH models, implied volatility, Monte Carlo methods
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3.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Gigli, Andrea
Universita della Svizzera Italiana - Institute of Finance
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828
(12,444)
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Electricity derivatives, risk-neutral valuation
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4.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Fusari, Nicola
Northwestern University - Kellogg School of Management Theal, John
Banque Centrale du Luxembourg
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730
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barrier option, binomial tree, convergence rate, transition probability
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5.
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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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6.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne Shefrin, Hersh
Santa Clara University - Leavey School of Business
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18 May 12
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Last Revised:
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18 Mar 13
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578
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Sentiment, Risk Aversion, Pricing Kernel, Optimism, Overconfidence
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7.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Geman, Hélyette
University of London, Birkbeck College - School of Economics, Mathematics and Statistics Theal, John
Banque Centrale du Luxembourg
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21 Mar 09
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Last Revised:
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06 Sep 10
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520
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1
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gold futures market, convenience yield, gold lease rate, speculative pressure
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8.
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Financial Crisis: Estimating the Risk of Assets in Balance
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Versions (2)
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Corvasce, Giuseppe
Society for Financial Studies
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Posted:
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26 Jun 09
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Last Revised:
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08 Jun 10
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429
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1
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Corvasce, Giuseppe
Society for Financial Studies
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24 Aug 09
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08 Jun 10
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118
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1
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Financial Instituionm, Spectral Measure, Filtered Historical Simulation
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Corvasce, Giuseppe
Society for Financial Studies
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26 Jun 09
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Last Revised:
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08 Jun 10
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311
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1
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Financial Institutions, Spectral Measure, Filtered Historical Simulation
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9.
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Audrino, Francesco
University of Saint Gallen Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
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310
(46,297)
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3
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Multivariate GARCH models,Dynamic conditional correlations,Tree-structured GARCH models, Model confidence set approach
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10.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Mancini, Loriano
Ecole Polytechnique Fédérale de Lausanne Shefrin, Hersh
Santa Clara University - Leavey School of Business
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03 Nov 11
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21 Mar 12
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308
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2
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systemic risk, marginal expected shortfall, pricing kernel, overconfidence, optimism
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11.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Brughelli, Moreno
University of Lugano - Institute of Finance
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305
(47,158)
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Asset Pricing, Cost of Capital, Implied Cost of Capital, Analysts' Forecasts, Discount Rate, Firm Valuation
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12.
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Is the Price Kernel Monotone?
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Show Abstracts |
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Versions (2)
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hide multiple versions |
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Dall'O, Hakim
Swiss Finance Institute at the University of Lugano
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Posted:
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21 Jan 10
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Last Revised:
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07 May 10
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286
(50,869)
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Dall'O, Hakim
Swiss Finance Institute at the University of Lugano
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24 Jan 10
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Last Revised:
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07 May 10
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228
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Pricing kernel, State price density per unit probability, Risk neutral, Historical distribution.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Dall'O, Hakim
Swiss Finance Institute at the University of Lugano
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58
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Pricing kernel, State price density per unit probability
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13.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Gagliardini, Patrick
University of Lugano and Swiss Finance Institute Urga, Giovanni
Cass Business School, Faculty of Finance, London
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286
(50,869)
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3
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Asset pricing models, panel
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14.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Corvasce, Giuseppe
Society for Financial Studies
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281
(51,882)
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Merger arbitrage, probit model
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15.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Carcano, Nicola
University of Lugano Dall'O, Hakim
Swiss Finance Institute at the University of Lugano
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257
(57,329)
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hedging, corporate bonds, model errors
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16.
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Audrino, Francesco
University of Saint Gallen Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
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236
(62,884)
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3
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Volatility estimation, Filtered Historical Simulation, Value-at-Risk
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17.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Giannopoulos, Kostas
Neapolis University, Pafos Vosper, Les
London Clearing House Limited
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32
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13
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18.
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Audrino, Francesco
University of Saint Gallen Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Mira, Antonietta
University of Insubria - Department of Economics
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factor analysis, FGD, robust regression, term structure
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19.
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Brown, Keith C.
University of Texas at Austin - Department of Finance Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Harlow, W. Van
Fidelity Investments
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20.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Brown, Keith C.
University of Texas at Austin - Department of Finance Harlow, W. Van
Fidelity Investments
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21.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
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22.
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Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano Delgado, Francisco A.
University of Colorado at Boulder - Leeds School of Business
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23.
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Delgado, Francisco A.
University of Colorado at Boulder - Leeds School of Business Barone-Adesi, Giovanni
Swiss Finance Institute at the University of Lugano
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24.
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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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