Chiara Legnazzi

Swiss Finance Institute

Finance PhD Student

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

2

DOWNLOADS

312

CITATIONS

0

Scholarly Papers (2)

1.

A Bayesian Estimate of the Pricing Kernel

Swiss Finance Institute Research Paper No. 16-14
Number of pages: 47 Posted: 19 Feb 2016 Last Revised: 28 Oct 2017
Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira
University of Lugano, Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 175 (167,655)

Abstract:

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Pricing Kernel, pricing kernel puzzle, Poisson-Dirichlet Process

2.

S&P 500 Index, an Option-Implied Risk Analysis

Swiss Finance Institute Research Paper No. 18-29
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 30 Apr 2018
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 137 (205,804)

Abstract:

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