Giuseppe Di Graziano

Deutsche Bank AG

Deutsche Bank AG

Winchester House

1 Great Winchester Street

London, EC2N 2DB

United Kingdom

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Optimal Trading Stops and Algorithmic Trading

Number of pages: 20 Posted: 21 Jan 2014
Giuseppe Di Graziano
Deutsche Bank AG
Downloads 1,855 (8,006)

Abstract:

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Trading stops, Algorithmic trading, Stop loss, Target profit, Utility functions, Markov chain, Calibration

2.

Optimal Execution Comparison Across Risks and Dynamics, with Solutions for Displaced Diffusions

Number of pages: 21 Posted: 11 Apr 2013 Last Revised: 10 May 2014
Damiano Brigo and Giuseppe Di Graziano
Imperial College London - Department of Mathematics and Deutsche Bank AG
Downloads 290 (102,652)

Abstract:

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Optimal trade execution, Algorithmic trading, Displaced Diffusion, HJB equation, calculus of variations, risk measures, Value at Risk, Expected Shortfall, Squared-Asset Expectation, Market Impact

3.

A Dynamic Approach to the Modeling of Correlation Credit Derivatives Using Markov Chains

International Journal of Theoretical and Applied Finance, Vol. 12, No. 1, pp. 45-62, 2009
Posted: 21 Apr 2010
L. C. G. Rogers and Giuseppe Di Graziano
University of Cambridge - Centre for Mathematical Sciences and Deutsche Bank AG

Abstract:

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CDO, credit derivatives, Markov chain, correlation, Laplace transform, copula, default risk