Carlo Sala

ESADE Business School

Assistant Professor

Avenida de Torreblanca 59

Barcelona, Barcelona 08172

Spain

http://www.people.usi.ch/salaca

  • ESADE Business School

SCHOLARLY PAPERS

15

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Top 27,279

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3,186

SSRN CITATIONS
Rank 28,013

SSRN RANKINGS

Top 28,013

in Total Papers Citations

30

CROSSREF CITATIONS

6

Scholarly Papers (15)

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1.

The Forecasting Power of Short-term Options

Université Paris-Dauphine Research Paper No. 3622433
Number of pages: 49 Posted: 15 Jun 2020 Last Revised: 13 Jul 2023
Arthur Böök, Juan Felipe Imbet, Martin Reinke and Carlo Sala
ESADE Business School, Université Paris Dauphine - Department of Finance, Ludwig Maximilian University of Munich (LMU) - Institute for Finance & Banking and ESADE Business School
Downloads 773 (54,896)

Abstract:

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Quantiles, Expectiles, Weekly options, Forecasting

2.

Greed and Fear: The Nature of Sentiment

Swiss Finance Institute Research Paper No. 18-45
Number of pages: 114 Posted: 15 Jun 2018
Giovanni Barone-Adesi, Matteo Pisati and Carlo Sala
University of Lugano, Universita' della Svizzera Italiana and ESADE Business School
Downloads 365 (137,605)
Citation 3

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sentiment, uncertainty, fear, markets predictability, anomalies

3.

Option market trading activity and the estimation of the pricing kernel A Bayesian approach

Journal of Econometrics, Vol. 216, No. 2, 2020
Number of pages: 42 Posted: 23 Jan 2016 Last Revised: 07 Aug 2020
Giovanni Barone-Adesi, Nicola Fusari, Carlo Sala and Antonietta Mira
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 351 (143,599)
Citation 13

Abstract:

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Pricing kernelPricing kernel puzzlePhysical measureDirichlet processBayesian nonparametric estimationOptionsS&P 500 index

4.

Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

International Journal of Finance and Economics, Forthcoming
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 03 Apr 2020
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 321 (158,032)
Citation 6

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Option Prices, VaR and CVaR, Long and Short-term Risk Measures, S&P 500 Index

5.

WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Journal of Forecasting, Volume 38, Issue 6, Pages 552-563, Forthcoming , Swiss Finance Institute Research Paper No. 16-53
Number of pages: 25 Posted: 24 Feb 2016 Last Revised: 13 Aug 2019
Giovanni Barone-Adesi, Marinela Adriana Finta, Chiara Legnazzi and Carlo Sala
University of Lugano, Singapore Management University, Swiss Finance Institute and ESADE Business School
Downloads 280 (182,331)
Citation 4

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Option Prices, Risk Measures, VaR and CVaR, Elicitability

6.

How Informationally Efficient Are Options Markets?

Number of pages: 48 Posted: 28 Dec 2018 Last Revised: 06 Apr 2022
Luis Goncalves-Pinto and Carlo Sala
University of New South Wales (UNSW) and ESADE Business School
Downloads 223 (228,091)

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Information Markets, Put-Call Parity, Synthetic Returns, Predictability

7.

Managing the Shortfall Risk of Target Date Funds by Overfunding

Swiss Finance Institute Research Paper No. 20-24
Number of pages: 38 Posted: 22 Apr 2020 Last Revised: 01 Sep 2022
Giovanni Barone-Adesi, Eckhard Platen and Carlo Sala
University of Lugano, University of Technology, Sydney (UTS) - Finance Discipline Group and ESADE Business School
Downloads 186 (269,301)

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Hedging, target date funds, dynamic investment policies

8.

Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set

Swiss Finance Institute Research Paper No. 15-58
Number of pages: 33 Posted: 02 Oct 2015 Last Revised: 03 Aug 2018
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 139 (343,759)
Citation 4

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Empirical Pricing Kernel, Real World Measure, Fundamental Theorems of Asset Pricing, Risk Premium, Semimartingale

9.

Conditioning the Information in Portfolio Optimization

Swiss Finance Institute Research Paper No. 15-50, 29th Australasian Finance and Banking Conference 2016
Number of pages: 32 Posted: 16 Oct 2015 Last Revised: 10 Nov 2016
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 133 (355,684)

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Portfolio optimization problem, Levy-Ito mixed model, Pricing kernel, Information premium, Optimal bounds

10.

Implicit Quantiles and Expectiles

Number of pages: 26 Posted: 01 Oct 2019 Last Revised: 01 Jul 2020
Fabio Bellini, Edit Rroji and Carlo Sala
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Polytechnic University of Milan - Department of Mathematics and ESADE Business School
Downloads 129 (363,940)

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11.

Forecasting Value at Risk and Conditional Value at Risk using Option Market Data

Number of pages: 59 Posted: 28 Oct 2020
Annalisa Molino and Carlo Sala
Prometeia SpA and ESADE Business School
Downloads 108 (414,548)

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Option market data, Conditional Value at Risk, Value at Risk, Backtests.

12.

Testing Market Efficiency With the Pricing Kernel

European Journal of Finance, 2019, Swiss Finance Institute Research Paper No. 19-77
Number of pages: 45 Posted: 01 Aug 2019 Last Revised: 02 Jan 2020
Giovanni Barone-Adesi and Carlo Sala
University of Lugano and ESADE Business School
Downloads 98 (443,664)
Citation 2

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market information; market efficiency; pricing kernel; fundamental theorems of asset pricing; dominating trading strategies

13.

Extremal Quantiles and Stock Price Crashes

Forthcoming in Econometric Reviews
Number of pages: 45 Posted: 31 May 2023 Last Revised: 28 Jul 2023
Panayiotis C. Andreou, Sofia Anyfantaki, Esfandiar Maasoumi and Carlo Sala
Cyprus University of Technology, Bank of Greece, Emory University and ESADE Business School
Downloads 68 (551,309)
Citation 1

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Stock price crashes, Extremal quantiles, Extreme value theory, Quantile regression

14.

Directional Information in Equity Returns

Number of pages: 91
Luca Del Viva, Carlo Sala and André B.M. Souza
ESADE Business School, ESADE Business School and ESADE Business School
Downloads 9

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Sign predictability, biased expectations, mispricing, momentum, crashes.

15.

Smart Deep Learning Calibration of the SABR Model

Number of pages: 47 Posted: 03 May 2022 Last Revised: 19 Sep 2023
Carlo Sala and Makar Pravosud
ESADE Business School and Universitat Pompeu Fabra
Downloads 3 (1,009,087)

Abstract:

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Hyper-parameter optimization, SABR model; Deep learning, Hagan's formula; Implied volatility surface.