Stefano Giovannitti

UniCredit S.p.A.

Piazza Gae Aulenti 3

Milan, 20154

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

393

0

!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (2)

1.

Quanto Implied Volatility Smile

Number of pages: 21 Posted: 31 Jan 2014
Alessandro Cesarini and Stefano Giovannitti
Banca Aletti - Gruppo Banco Popolare and UniCredit S.p.A.
Downloads 297 (100,027)

Abstract:

Loading...

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 96 (267,515)

Abstract:

Loading...

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