Francesco Rapisarda

Bloomberg L.P.

39 Finsbury Square

London, EC2A 1HD

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 19,027

SSRN RANKINGS

Top 19,027

in Total Papers Downloads

2,509

SSRN CITATIONS
Rank 32,730

SSRN RANKINGS

Top 32,730

in Total Papers Citations

0

CROSSREF CITATIONS

18

Scholarly Papers (5)

1.

Approximated Moment-Matching Dynamics for Basket-Options Simulation

EFMA 2001 Lugano Meetings
Number of pages: 39 Posted: 29 Apr 2001
Damiano Brigo, Fabio Mercurio, Francesco Rapisarda and Rita Scotti
Imperial College London - Department of Mathematics, Bloomberg L.P., Bloomberg L.P. and affiliation not provided to SSRN
Downloads 1,423 (12,634)
Citation 5

Abstract:

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2.

Barrier Options on Underlyings with Time-Dependent Parameters: A Perturbation Expansion Approach

Number of pages: 17 Posted: 03 Apr 2005 Last Revised: 16 Dec 2015
Francesco Rapisarda
Bloomberg L.P.
Downloads 525 (52,056)
Citation 2

Abstract:

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option pricing, Black--Scholes, barrier options, FX derivatives, credit derivatives, partial differential equations, perturbation theory

3.

Pricing Barriers on Underlyings with Time-Dependent Parameters

Number of pages: 14 Posted: 30 Aug 2012
Francesco Rapisarda
Bloomberg L.P.
Downloads 235 (130,060)
Citation 12

Abstract:

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option pricing, barrier options, Black-Scholes, partial differential equations, diffusion equation, boundary problems, FX derivatives, credit derivatives

4.

The Arbitrage-Free Multivariate Mixture Dynamics Model: Consistent Single-Assets and Index Volatility Smiles

Number of pages: 47 Posted: 01 Mar 2013 Last Revised: 24 Sep 2014
Damiano Brigo, Francesco Rapisarda and Abir Sridi
Imperial College London - Department of Mathematics, Bloomberg L.P. and Université Paris I Panthéon-Sorbonne
Downloads 227 (134,580)
Citation 2

Abstract:

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Mixture of densities, Volatility smile, Lognormal density, Multivariate local volatility, Complete Market, Option on a weighted Arithmetic average of a basket, Spread option, Option on a weighted geometric average of a basket, Markovian projection, Copula function

5.

The Multivariate Mixture Dynamics Model: Shifted Dynamics and Correlation Skew

Number of pages: 24 Posted: 16 Dec 2015 Last Revised: 09 Nov 2018
Damiano Brigo, Camilla Pisani and Francesco Rapisarda
Imperial College London - Department of Mathematics, Aarhus University - Department of Business and Economics and Bloomberg L.P.
Downloads 99 (266,788)
Citation 1

Abstract:

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MVMD model, Mixture of densities, Multivariate local volatility, Correlation Skew, Random Correlation, Calibration, Cross exchange rates, FX smile, Index volatility smile, renminbi-USD smile, renminbi-EUR smile, CNY-USD smile, CNY-EUR smile, SCMD model