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
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Top 1,390

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18,938

CITATIONS
Rank 32,914

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Top 32,914

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 3,487 (418)
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.

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 2,775 (2,914)
Citation 4

Abstract:

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market model, calibration, Bermudan swaptions

3.

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 1,824 (1,039)
Citation 1

Abstract:

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

4.

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 0 (116,639)

Abstract:

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

5.

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 0 (264,229)

Abstract:

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

6.

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 0 (89,262)

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

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