Giuseppe Castellacci

New York University (NYU)

Visiting Academic

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  • New York University (NYU)

SCHOLARLY PAPERS

5

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CROSSREF CITATIONS

3

Scholarly Papers (5)

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1.

Bootstrapping Credit Curves from CDS Spread Curves

Number of pages: 21 Posted: 21 Apr 2012
Giuseppe Castellacci
New York University (NYU)
Downloads 5,257 (2,145)
Citation 1

Abstract:

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hazard rates, risk-neutral hazard rates, risk-neutral default probabilities, CDS spread

2.

Put-Call Parity for European Exotic Options

Number of pages: 15 Posted: 03 Jul 2009
Giuseppe Castellacci
New York University (NYU)
Downloads 479 (82,015)

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no-arbitrage equalities, Put-Call Parity, arbitrage pricing, European options, exotic options, volatility smile/smirk, intrinsic value

3.

A Formula for the Quantiles of Mixtures of Distributions with Disjoint Supports

Number of pages: 11 Posted: 10 May 2012 Last Revised: 14 May 2012
Giuseppe Castellacci
New York University (NYU)
Downloads 420 (95,741)
Citation 5

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quantile, mixture of distributions, risk measures

4.

Modeling Contagion in the Eurozone Crisis via Dynamical Systems

Number of pages: 28 Posted: 10 Jun 2012 Last Revised: 05 Jan 2014
Giuseppe Castellacci and Youngna Choi
New York University (NYU) and Montclair State University - Department of Mathematical Sciences
Downloads 115 (321,754)

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dynamical systems, instability , recurrence, chaos, market instability indicator, sovereign credit, systemic risk, contagion, multi-economy models

5.

Financial Instability Contagion: A Dynamical Systems Approach

Posted: 05 Sep 2013
Giuseppe Castellacci and Youngna Choi
New York University (NYU) and Montclair State University - Department of Mathematical Sciences

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sovereign credit, systemic risk, contagion, multi-economy model, market instability indicator