Andrea Barletta

Nordea

Copenhagen

Denmark

http://https://sites.google.com/view/andreabarletta/home

SCHOLARLY PAPERS

4

DOWNLOADS

727

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

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1.

A Non-Structural Investigation of VIX Risk Neutral Density

Journal of Banking and Finance, Forthcoming
Number of pages: 45 Posted: 01 Apr 2017 Last Revised: 16 Nov 2018
Andrea Barletta, Paolo Santucci de Magistris and Francesco Violante
Nordea, Luiss University of Rome and Maastricht University - Department of Economics
Downloads 391 (117,581)

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VIX options, orthogonal expansions, risk-neutral moments, volatility jumps, volatility tail-risk

2.

The Short-Time Behaviour of VIX Implied Volatilities in a Multifactor Stochastic Volatility Framework

Mathematical Finance (to appear, accepted June 7, 2018)
Number of pages: 31 Posted: 30 Mar 2017 Last Revised: 27 Jul 2018
Andrea Barletta, Elisa Nicolato and Stefano Pagliarani
Nordea, University of Aarhus - Department of Theoretical Statistics and DEAMS, Università di Trieste
Downloads 193 (240,509)

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VIX Options, Multifactor Stochastic Volatility, Asymptotic Expansions

3.

Orthogonal Expansions for VIX Options Under Affine Jump Diffusions

Quantitative Finance 18.6 (2018): 951-967. Accepted August 17, 2017. DOI: 10.1080/14697688.2017.1371322.
Number of pages: 26 Posted: 24 Feb 2017 Last Revised: 27 Jul 2018
Andrea Barletta and Elisa Nicolato
Nordea and Aarhus University - Department of Business and Economics
Downloads 143 (310,051)
Citation 2

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VIX options, Affine jump diffusion, Orthogonal polynomials, Laguerre expansions

4.

It only takes a few moments to hedge options

Journal of Economic Dynamics and Control, Vol. 100, 2019
Posted: 14 Dec 2017 Last Revised: 10 Oct 2022
Andrea Barletta, Paolo Santucci de Magistris and David Sloth
Nordea, Luiss University of Rome and Danske Bank - Danske Markets

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option Greeks, hedging, risk-neutral moments, low VIX puzzle