Stefano Galluccio

BNP Paribas Fixed Income

Dr

10, Harewood Avenue

NW1 6AA London

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 12,413

in Total Papers Downloads

3,882

SSRN CITATIONS
Rank 20,095

SSRN RANKINGS

Top 20,095

in Total Papers Citations

2

CROSSREF CITATIONS

37

Scholarly Papers (9)

1.
Downloads 1,218 ( 16,438)
Citation 10

Theory and Calibration of Swap Market Models

FAME Working Paper No. 107
Number of pages: 42 Posted: 27 Feb 2005
Stefano Galluccio, O. Scaillet, Zhijiang Huang and Jean-Michel Ly
BNP Paribas Fixed Income, University of Geneva GSEM and GFRI, JP Morgan and BNP Paribas Fixed Income
Downloads 1,186 (16,784)
Citation 3

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Swap market model, cap, swaption, calibration

Theory and Calibration of Swap Market Models

Mathematical Finance, Vol. 17, No. 1, pp. 111-141, January 2007
Number of pages: 31 Posted: 13 Dec 2006
Stefano Galluccio, Jean-Michel Ly, O. Scaillet and Z. Huang
BNP Paribas Fixed Income, BNP Paribas Fixed Income, University of Geneva GSEM and GFRI and JP Morgan
Downloads 32 (477,970)
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2.
Downloads 700 ( 36,386)
Citation 6

The Co-Initial Swap Market Model

Number of pages: 18 Posted: 15 Apr 2005
Stefano Galluccio and Christopher Hunter
BNP Paribas Fixed Income and Independent
Downloads 667 (38,229)

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Swap market models, model calibration

The Co-Initial Swap Market Model

Economic Notes, Vol. 33, No. 2, pp. 209-232, July 2004
Number of pages: 24 Posted: 07 Oct 2004
Stefano Galluccio and Christopher Hunter
BNP Paribas Fixed Income and Independent
Downloads 33 (473,001)
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3.

Implied Calibration and Moments Asymptotics in Stochastic Volatility Jump Diffusion Models

Number of pages: 32 Posted: 02 Nov 2005 Last Revised: 18 Nov 2008
Stefano Galluccio and Yann Lecam
BNP Paribas Fixed Income and Evry University
Downloads 439 (66,266)
Citation 5

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Affine-quadratic models, Option pricing, Model calibration

4.

A New Measure of Cross-Sectional Risk and its Empirical Implications for Portfolio Risk Management

EFA 2005 Moscow Meetings Paper, Journal of Banking and Finance, Vol. 30, No. 8, 2006
Number of pages: 43 Posted: 02 Mar 2005 Last Revised: 12 Nov 2015
Andrea Roncoroni and Stefano Galluccio
ESSEC Business School and BNP Paribas Fixed Income
Downloads 437 (66,616)

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Risk Measures, Risk Management, Factor Analysis, Cross-Sections, Interest Rates

5.

Shape Factors and Cross-Sectional Risk

Journal of Economic Dynamics and Control, Vol. 34, No. 11, 2010
Number of pages: 55 Posted: 14 Dec 2005 Last Revised: 12 Nov 2015
Andrea Roncoroni, Stefano Galluccio and Paolo Guiotto
ESSEC Business School, BNP Paribas Fixed Income and affiliation not provided to SSRN
Downloads 382 (78,129)

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Risk measures, Infinite-dimensional stochastic calculus, Cross-sectional analysis

6.

Dynamic Mis-Specification in Local-Stochastic Volatility Models

Number of pages: 13 Posted: 08 May 2009 Last Revised: 01 Jun 2009
Giuseppe Di Graziano and Stefano Galluccio
J.P. Morgan Chase & Co. and BNP Paribas Fixed Income
Downloads 293 (105,273)

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Replication error, model selection, local and stochastic volatility modelling, implied stochastic volatility

Valuing American Options Using Fast Recursive Projections

Number of pages: 69 Posted: 25 Jun 2012 Last Revised: 07 Dec 2018
Antonio Cosma, Stefano Galluccio, Paola Pederzoli and O. Scaillet
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 235 (131,909)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

Valuing American Options Using Fast Recursive Projections

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 02 Jun 2016
Antonio Cosma, Stefano Galluccio, Paola Pederzoli and O. Scaillet
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 46 (416,777)

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Option pricing, American option, Bermudan option, discrete transform, discrete dividend paying stock, suboptimal non-exercise, numerical techniques

8.

Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps

Swiss Finance Institute Research Paper No. 16-73
Number of pages: 74 Posted: 09 Dec 2016 Last Revised: 16 Mar 2018
Antonio Cosma, Stefano Galluccio, Paola Pederzoli and O. Scaillet
Université du Luxembourg, BNP Paribas Fixed Income, University of Houston - C.T. Bauer College of Business and University of Geneva GSEM and GFRI
Downloads 132 (220,626)
Citation 4

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9.

On Model Selection and its Impact on the Hedging of Financial Derivatives

ADVANCES IN RISK MANAGEMENT, Gregoriou, G.N., ed., Palgrave-MacMillan, November 2006
Posted: 06 Jul 2007
Stefano Galluccio and Giuseppe Di Graziano
BNP Paribas Fixed Income and J.P. Morgan Chase & Co.

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Model selection, Stochastic volatility modelling, Replication error