Ferdinando M. Ametrano

Digital Gold Institute

Executive Director

Italy

http://www.digitalgoldinstitute.org

Università Milano-Bicocca - Department of Statistics and Quantitative Methods

Adjunct Professor

Milano, 20126

Italy

Politecnico di Milano - Department of Mathematics

Via Bonardi, 9

Milano, MI 20133

Italy

QuantLib

Founder and co-admin

http://quantlib.org

  • Digital Gold Institute

  • Università Milano-Bicocca - Department of Statistics and Quantitative Methods

  • Politecnico di Milano - Department of Mathematics

  • QuantLib

SCHOLARLY PAPERS

9

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20,343

CITATIONS

6

Scholarly Papers (9)

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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
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 10,128 (382)
Citation 1

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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
Digital Gold Institute
Downloads 6,178 (940)
Citation 1

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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
Digital Gold Institute and The University of Melbourne - Centre for Actuarial Studies
Downloads 3,183 (2,988)
Citation 4

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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
Digital Gold Institute, StatPro Italia Srl and Deloitte
Downloads 336 (82,470)

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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
Digital Gold Institute, Banca IMI and Deloitte
Downloads 281 (100,470)

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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
Digital Gold Institute
Downloads 236 (120,347)

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

7.

Response to ESMA/2016/773 "The Distributed Ledger Technology Applied to Securities Markets"

Number of pages: 8
Ferdinando M. Ametrano, Emilio Barucci, Daniele Marazzina and Stefano Zanero
Digital Gold Institute, Politecnico di Milano - Department of Mathematics, Polytechnic University of Milan - Department of Mathematics and Independent
Downloads 1

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blockchain, DLT, distributed ledger technology, securities, derivatives, clearing, bitcoin, ESMA

8.

The Cryptocurrency Frontier in Commodity Monetary Standard

Posted: 12 Oct 2014 Last Revised: 16 Jul 2017
Ferdinando M. Ametrano
Digital Gold Institute

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

9.

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

A version of this paper was published as chapter 1 in "Modeling Interest Rates", edited by Fabio Mercurio, Risk Books, 1 May 2009, ISBN 9781906348137
Posted: 02 Apr 2009 Last Revised: 10 Sep 2018
Ferdinando M. Ametrano and Marco Bianchetti
Digital Gold Institute 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