Gaia Barone

School of Business, National College of Ireland

Assistant Professor of Economics and Finance

Mayor Street

IFSC

Dublin, 1

Ireland

SCHOLARLY PAPERS

8

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Top 49,323

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1,201

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Arbitrages and Arrow-Debreu Prices

Number of pages: 30 Posted: 23 Apr 2008
Gaia Barone
School of Business, National College of Ireland
Downloads 501 (73,787)

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2.

Equity Options, Credit Default Swaps and Leverage: A Simple Stochastic-Volatility Model for Equity and Credit Derivatives

Number of pages: 24 Posted: 01 May 2011 Last Revised: 14 Feb 2012
Gaia Barone
School of Business, National College of Ireland
Downloads 247 (161,355)
Citation 1

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equity options, credit default swaps, leverage, stochastic volatility, perpetual options, first-touch digitals, Greeks, default probabilities, put-call parity

3.

Equity Options and Bond Options in the Leland Model

Number of pages: 43 Posted: 08 Mar 2011 Last Revised: 14 Feb 2012
Gaia Barone
School of Business, National College of Ireland
Downloads 199 (197,836)
Citation 1

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perpetual American options, binary barrier options, first-touch digitals, put-call parity

Explaining Credit-Ratings through a Perpetual-Debt Structural Model

Number of pages: 23 Posted: 12 Jan 2016 Last Revised: 02 Apr 2020
Gaia Barone
School of Business, National College of Ireland
Downloads 111 (317,896)

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Credit, Banking, Risk Management

Explaining Credit Ratings Through a Perpetual-Debt Structural Model

Journal of Credit Risk, Vol. 17, No. 2
Number of pages: 26 Posted: 23 Aug 2021
Gaia Barone
School of Business, National College of Ireland
Downloads 1 (850,081)
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structural credit risk models; endogenous default boundary; first-touch digital options; stochastic equity volatility; model calibration; credit default swaps.

5.

The Making of Zero Curves

Number of pages: 28 Posted: 07 Sep 2021 Last Revised: 02 Oct 2021
Luiss - Guido Carli (Dpt. of Economics and Finance), School of Business, National College of Ireland and University of California, Davis
Downloads 61 (450,129)

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Credit, banking, risk management

6.

Deleveraging CAPM: Asset Betas vs. Equity Betas

Number of pages: 25 Posted: 14 Oct 2021
Emilio Barone and Gaia Barone
Luiss - Guido Carli (Dpt. of Economics and Finance) and School of Business, National College of Ireland
Downloads 57 (465,068)

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Asset management, derivatives, corporate finance, risk management

7.

The Valuation of Equity Options in the Perpetual-Debt Structural Model

Number of pages: 21 Posted: 22 Apr 2019
Gaia Barone
School of Business, National College of Ireland
Downloads 24 (630,692)

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credit, banking, risk management

8.

European Compound Options Written on Perpetual American Options

Journal of Derivatives, Vol. 20, No. 3: pp. 61-74, Spring 2013
Posted: 17 Nov 2010
Gaia Barone
School of Business, National College of Ireland

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perpetual options, compound options, barrier options, first-touch digitals, Greeks, put-call parity, distance to exercise, time to exercise