Stefano Galluccio

BNP Paribas Fixed Income

Dr

10, Harewood Avenue

NW1 6AA London

United Kingdom

  • BNP Paribas Fixed Income

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 22,211

SSRN RANKINGS

Top 22,211

in Total Papers Downloads

4,825

TOTAL CITATIONS
Rank 32,747

SSRN RANKINGS

Top 32,747

in Total Papers Citations

25

Scholarly Papers (9)

Actions:
Email selected abstracts
1.

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, Swiss Finance Institute - University of Geneva, JP Morgan and BNP Paribas Fixed Income
Downloads 1,339 (31,786)
Citation 4

Abstract:

Loading...

Swap market model, cap, swaption, calibration

2.

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 851 (60,466)

Abstract:

Loading...

Swap market models, model calibration

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 618 (91,753)
Citation 6

Abstract:

Loading...

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 507 (117,521)
Citation 1

Abstract:

Loading...

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 435 (141,173)

Abstract:

Loading...

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

6.

Valuing American Options Using Fast Recursive Projections

Downloads 428 (143,874)

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 Swiss Finance Institute - University of Geneva
Downloads 297 (213,402)

Abstract:

Loading...

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 Swiss Finance Institute - University of Geneva
Downloads 131 (457,211)

Abstract:

Loading...

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

7.

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 355 (177,556)

Abstract:

Loading...

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

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 Swiss Finance Institute - University of Geneva
Downloads 292 (218,881)
Citation 14

Abstract:

Loading...

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.

Abstract:

Loading...

Model selection, Stochastic volatility modelling, Replication error