Federico Maglione

Cass Business School

PhD candidate in Mathematical Finance

106 Bunhill Row

London, EC1Y 8TZ

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

394

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Multifractality in Finance: A Deep Understanding and Review of Mandelbrot's MMAR

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 05/WP/2015
Number of pages: 39 Posted: 07 Mar 2015
Federico Maglione
Cass Business School
Downloads 159 (227,799)

Abstract:

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Multifractal processes, scaling function, multifractal spectrum, long-range dependence, heavy tails, MMAR, Extreme Value Theory

2.

The Impact of Credit Risk on Equity Options

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 80 Posted: 07 Feb 2020 Last Revised: 13 Oct 2020
Federico Maglione
Cass Business School
Downloads 124 (277,323)
Citation 2

Abstract:

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Defaultable options, credit risk, leverage effect, volatility skew, market integration

3.

The Option-Implied Asset Volatility Surface

Number of pages: 20 Posted: 07 Jul 2020
Federico Maglione
Cass Business School
Downloads 61 (427,979)

Abstract:

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asset volatility surface, leverage effect, compound options

4.

Credit Spreads, Leverage and Volatility: a Cointegration Approach

Number of pages: 34 Posted: 08 May 2020
Federico Maglione
Cass Business School
Downloads 50 (468,896)
Citation 1

Abstract:

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credit spreads, financial leverage, asset volatility, cointegration, compound options