Andrea Barletta

Nordea Bank

Christianbro

Strandgade 3

Copenhagen, 1401

Denmark

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

SCHOLARLY PAPERS

4

DOWNLOADS

770

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

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
Nordea Bank, Aarhus University - CREATES and Maastricht University - Department of Economics
Downloads 290 (104,700)

Abstract:

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

2.

It Only Takes a Few Moments to Hedge

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 40 Posted: 14 Dec 2017 Last Revised: 01 Dec 2018
Nordea Bank, Aarhus University - CREATES and Danske Bank - Danske Markets
Downloads 264 (115,616)

Abstract:

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option Greeks, hedging, risk-neutral moments, variance-swap

3.

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 Bank, University of Aarhus - Department of Theoretical Statistics and DEAMS, Università di Trieste
Downloads 129 (220,830)

Abstract:

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VIX Options, Multifactor Stochastic Volatility, Asymptotic Expansions

4.

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 Bank and Aarhus University - Department of Business and Economics
Downloads 87 (290,185)

Abstract:

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