Ferdinando M. Ametrano

Università Milano-Bicocca - Department of Statistics and Quantitative Methods

Adjunct Professor

Milano, 20126

Italy

QuantLib

Founder and co-admin

http://quantlib.org

Politecnico di Milano - Department of Mathematics

Via Bonardi, 9

Milano, MI 20133

Italy

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 1,353

SSRN RANKINGS

Top 1,353

in Total Papers Downloads

19,635

CITATIONS
Rank 32,948

SSRN RANKINGS

Top 32,948

in Total Papers Citations

6

Scholarly Papers (8)

1.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Ferdinando M. Ametrano and Marco Bianchetti
Università Milano-Bicocca - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 9,801 (396)
Citation 1

Abstract:

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crisis, crunch, liquidity, funding, credit, counterparty risk, collateral, CSA, Libor, Euribor, Eonia, yield curve, discount curve, bootstrapping, no-arbitrage, pricing, hedging, derivatives, Deposit, FRA, Future, Swap, IRS, OIS, Basis Swap, turn of year, spline, Greeks, sensitivity, QuantLib

2.

Hayek Money: The Cryptocurrency Price Stability Solution

Number of pages: 51 Posted: 17 Apr 2014 Last Revised: 23 Aug 2016
Ferdinando M. Ametrano
Università Milano-Bicocca - Department of Statistics and Quantitative Methods
Downloads 5,955 (988)
Citation 1

Abstract:

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bitcoin, Hayek, cryptocurrency, inflation, deflation, monetary policy, Hayek money

3.

Smooth Simultaneous Calibration of the LMM to Caplets and Coterminal Swaptions

Quantitative Finance, vol. 11 (4), pp.547 - 558
Number of pages: 20 Posted: 15 Feb 2008 Last Revised: 15 Jul 2014
Ferdinando M. Ametrano and Mark S. Joshi
Università Milano-Bicocca - Department of Statistics and Quantitative Methods and The University of Melbourne - Centre for Actuarial Studies
Downloads 3,168 (2,938)
Citation 4

Abstract:

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market model, calibration, Bermudan swaptions

4.

The ABCD of Interest Rate Basis Spreads

Number of pages: 20 Posted: 30 Nov 2015 Last Revised: 13 Jul 2016
Ferdinando M. Ametrano, Luigi Ballabio and Paolo Mazzocchi
Università Milano-Bicocca - Department of Statistics and Quantitative Methods, StatPro Italia Srl and Deloitte
Downloads 323 (86,806)

Abstract:

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forward rates, basis, multi-curve, multi-curve modelling, tenor basis spread, ABCD, pseudo-discount factors, Libor, Euribor, Eonia, yield curve, discount curve, bootstrapping, Deposit, FRA, Future, Swap, IRS, OIS, Basis Swap, turn of year, QuantLib

5.

Advanced EONIA Curve Calibration

Number of pages: 15 Posted: 08 Dec 2016
Ferdinando M. Ametrano, Nicholas Bertocchi and Paolo Mazzocchi
Università Milano-Bicocca - Department of Statistics and Quantitative Methods, Banca IMI and Deloitte
Downloads 260 (108,102)

Abstract:

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forward rates, Euribor, Eonia, yield curve, discount curve, bootstrapping, OIS, turn of year, jumps, interpolation, QuantLib

6.

Bitcoin, Blockchain, and Distributed Ledgers: Between Hype and Reality

Number of pages: 22 Posted: 31 Aug 2016 Last Revised: 19 Apr 2018
Ferdinando M. Ametrano
Università Milano-Bicocca - Department of Statistics and Quantitative Methods
Downloads 128 (218,144)

Abstract:

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Bitcoin, Blockchain, Distributed Ledger, DLT, Cryptocurrency, Hayek Money, Digital Gold, Gold, Consensus, Distributed Consensus, Native Digital Asset

7.

The Cryptocurrency Frontier in Commodity Monetary Standard

Posted: 12 Oct 2014 Last Revised: 16 Jul 2017
Ferdinando M. Ametrano
Università Milano-Bicocca - Department of Statistics and Quantitative Methods

Abstract:

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bitcoin, Hayek, cryptocurrency, inflation, deflation, monetary policy, Hayek Money, Seigniorage Shares, Decentralized Reserve Bank, Proof-of-Payment

8.

Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation

MODELING INTEREST RATES, Fabio Mercurio, ed., Risk Books, Incisive Media, May 2009
Posted: 02 Apr 2009 Last Revised: 15 Jun 2016
Ferdinando M. Ametrano and Marco Bianchetti
Università Milano-Bicocca - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management

Abstract:

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Liquidity crisis, credit crunch, interest rates, yield curve, forward curve, discount curve, bootstrapping, pricing, hedging, interest rate derivatives, Deposit, FRA, Futures, Swap, Basis Swap, turn of year, spline, QuantLib