Antonio Castagna

Iason Ltd.

Financial Modelling Consultant

7th Floor, Hume House

Dublin, 4

Ireland

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 3,925

SSRN RANKINGS

Top 3,925

in Total Papers Downloads

8,387

CITATIONS
Rank 16,370

SSRN RANKINGS

Top 16,370

in Total Papers Citations

21

Scholarly Papers (20)

1.

Consistent Pricing of FX Options

Number of pages: 15 Posted: 05 Jan 2006
Antonio Castagna and Fabio Mercurio
Iason Ltd. and Bloomberg L.P.
Downloads 1,962 (4,879)
Citation 5

Abstract:

FX option, smile, consisten pricing, stochastic volatility

2.

Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries

Bloomberg Portfolio Research Paper No. 2009-05-FRONTIERS
Number of pages: 32 Posted: 02 Jun 2009 Last Revised: 28 Aug 2009
Antonio Castagna, Fabio Mercurio and Paola Mosconi
Iason Ltd., Bloomberg L.P. and IntesaSanpaolo Group
Downloads 778 (23,402)
Citation 2

Abstract:

Basel II, second pillar, credit VaR, analytical formula, contagion risk, sectoral risk, stochastic default probability, stochastic recovery, scenario

3.

Pricing Bonds and Bond Options with Default Risk

Number of pages: 43 Posted: 05 Mar 2004
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), Swiss Finance Institute at the University of Lugano and Iason Ltd.
Downloads 665 (26,959)
Citation 2

Abstract:

4.

The Main Risks of an FX Options Portfolio, Some Untimely Considerations of an Option Trader

Number of pages: 19 Posted: 29 Aug 2005
Antonio Castagna
Iason Ltd.
Downloads 641 (31,553)

Abstract:

FX, option, stochastic volatility, uncertain volatiltiy, smile, VAR

5.

Pricing of Derivatives Contracts under Collateral Agreements: Liquidity and Funding Value Adjustments

Number of pages: 30 Posted: 19 Dec 2011 Last Revised: 13 Jun 2013
Antonio Castagna
Iason Ltd.
Downloads 569 (22,651)
Citation 2

Abstract:

collateral, CSA, liquidity value adjustment, LVA, funding value adjustment, FVA, derivatives, swap, FRA

6.

Pricing Swaps Including Funding Costs

Number of pages: 19 Posted: 31 Jul 2011 Last Revised: 31 Jan 2012
Antonio Castagna
Iason Ltd.
Downloads 400 (53,417)

Abstract:

funding, liquidity, DVA, credit spread, funding value adjustment, FVA

7.

Funding, Liquidity, Credit and Counterparty Risk: Links and Implications

Number of pages: 24 Posted: 27 Jun 2011 Last Revised: 20 Jul 2011
Antonio Castagna
Iason Ltd.
Downloads 390 (49,725)
Citation 6

Abstract:

counterparty risk, CVA, DVA, funding, liquidity

8.
Downloads 323 (56,068)
Citation 1

Abstract:

FVA, DVA, CVA, funding

9.
Downloads 294 (68,866)
Citation 1

Abstract:

Liquidity Valued Adjustment, Funding Value Adjustment, CSA, collateral, FX swap, FX forward, outright, cross currency swap

10.

The Hedging Costs of Discrete Monitoring of FX Barrier Options

Number of pages: 12 Posted: 30 Jan 2009
Antonio Castagna
Iason Ltd.
Downloads 211 (114,615)
Citation 1

Abstract:

discrete monitored barrier, local time, slippage cost, hedging cost, ecb 37

11.
Downloads 146 (129,195)

Abstract:

CVA, DVA, FVA, Pricing, Valuation, Funding Spread, Transfer Pricing

12.

On the Dynamic Replication of the DVA: Do Banks Hedge Their Debit Value Adjustment or Their Destroying Value Adjustment?

Number of pages: 19 Posted: 22 Jan 2012 Last Revised: 31 May 2012
Antonio Castagna
Iason Ltd.
Downloads 146 (139,802)
Citation 1

Abstract:

Debit Value Adjustment, Hedging, counterparty risk, bank franchise, bilateral counterparty risk, credit value adjustment, CVA

13.

Analytical Pricing of CDOs in a Multi-Factor Setting by a Moment Matching Approach

Number of pages: 18 Posted: 17 Jan 2012
Antonio Castagna, Fabio Mercurio and Paola Mosconi
Iason Ltd., Bloomberg L.P. and affiliation not provided to SSRN
Downloads 136 (154,195)

Abstract:

CDO pricing, moment matching, credit risk transfer, multifactor credit model

14.

Collateral Management: Processes, Tools and Metrics

Number of pages: 55 Posted: 06 Aug 2014
Antonio Castagna
Iason Ltd.
Downloads 120 (145,505)

Abstract:

Collateral, FVA, LVA, LCR, Collateral Arbitrage, Dealing Room Organization, Pricing

15.

Underwriting Fees and Power Derivatives

Number of pages: 19 Posted: 05 Mar 2004
Emilio Barone and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance) and Iason Ltd.
Downloads 108 (207,235)

Abstract:

16.
Downloads 100 (187,246)

Abstract:

FVA,, funding costs, Modigliani Miller, Merton, Raroc, risk adjsted pricing

17.

Modelling of Libor-Ois Basis

Number of pages: 47 Posted: 13 Mar 2015
Antonio Castagna, Andrea Cova and Matteo Camelia
Iason Ltd., Iason Ltd. and Iason Ltd.
Downloads 95 (161,011)

Abstract:

Libor-Ois basis, swap pricing, caplet-floorlet pricing

18.

Market Instruments for Collateral Management

Number of pages: 29 Posted: 23 Jan 2015
Antonio Castagna
Iason Ltd.
Downloads 57 (271,300)

Abstract:

Collateral Management, Repo, Sell/Buy Back, Security Lending, FVA, CVA, LVA

19.

The Information Content of Tips

Number of pages: 20 Posted: 04 Nov 2012
Emilio Barone and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance) and Iason Ltd.
Downloads 46 (298,492)

Abstract:

Treasury Inflation-Protected Securities, Cox-Ingersoll-Ross model, Siegel's paradox

20.

Pricing Bonds and Bond Options Under Default Risk

European Financial Management, Vol 4, No 2, July 1998
Posted: 15 Jun 1998
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), Swiss Finance Institute at the University of Lugano and Iason Ltd.

Abstract: