Stefano Giovannitti

UniCredit S.p.A.

Piazza Gae Aulenti 3

Milan, 20154

Italy

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Quanto Implied Volatility Smile

Number of pages: 21 Posted: 31 Jan 2014
Alessandro Cesarini and Stefano Giovannitti
Poste Italiane and UniCredit S.p.A.
Downloads 365 (93,927)
Citation 1

Abstract:

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quanto options, quanto implied volatility adjustment, quanto effect, market implied probability distribution, implied volatility extrapolation, Gaussian copula

2.

CDO Tranche Analytic Pricing with Subordinator Levy Marshall-Olkin Correlation

Number of pages: 12 Posted: 11 Jan 2016 Last Revised: 12 Jan 2016
Stefano Giovannitti
UniCredit S.p.A.
Downloads 112 (279,985)

Abstract:

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Credit Correlation, Marshall-Olkin Copula, Subordinator Levy Process, Credit Default Obligation