Davide La Vecchia

University of St. Gallen - Swiss Institute of Banking and Finance

SCHOLARLY PAPERS

2

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659

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9

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1

Scholarly Papers (2)

1.

Realizing Smiles: Options Pricing with Realized Volatility

Swiss Finance Institute Research Paper No. 10-05
Number of pages: 52 Posted: 03 Feb 2010 Last Revised: 22 Nov 2011
Fulvio Corsi, Nicola Fusari and Davide La Vecchia
University of Pisa - Department of Economics, Johns Hopkins University - Carey Business School and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 564 (48,842)
Citation 12

Abstract:

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High Frequency, Realized Volatility, Option Pricing

2.

Infinitesimal Robustness for Diffusions

University of St.Gallen Department of Economics Discussion Paper No. 2008-09
Number of pages: 53 Posted: 18 May 2008
Davide La Vecchia and Fabio Trojani
University of St. Gallen - Swiss Institute of Banking and Finance and Swiss Finance Institute
Downloads 95 (280,617)

Abstract:

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Dffusion processes, Eigen expansion, Influence Function, Infinitesimal Generator, M-Estimators, Saddle-point Approximation