Emilio Barone

Luiss - Guido Carli (Dpt. of Economics and Finance)

Intesa Sanpaolo Chair, Stephen A. Ross Professor of Financial Economics

Viale Romania, 32

Rome, 00197

Italy

http://docenti.luiss.it/barone/

  • Luiss - Guido Carli (Dpt. of Economics and Finance)

SCHOLARLY PAPERS

27

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31

CROSSREF CITATIONS

12

Ideas:
“  Equity-based Credit-risk Models  ”

  • Luiss - Guido Carli (Dpt. of Economics and Finance)

Scholarly Papers (27)

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1.

The Italian Stock Market: Efficiency and Calendar Anomalies

Number of pages: 25 Posted: 05 Mar 2004
Emilio Barone
Luiss - Guido Carli (Dpt. of Economics and Finance)
Downloads 1,045 (33,367)
Citation 21

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2.

Pricing Bonds and Bond Options with Default Risk

Number of pages: 43 Posted: 05 Mar 2004
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.
Downloads 940 (38,728)
Citation 2

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3.

The Valuation of Derivatives: A Survey

Number of pages: 28 Posted: 05 Mar 2004
Emilio Barone
Luiss - Guido Carli (Dpt. of Economics and Finance)
Downloads 803 (48,010)

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4.

A Model for Measuring Financial Risks

Number of pages: 24 Posted: 05 Mar 2004
Emilio Barone and Antonio Braghò
Luiss - Guido Carli (Dpt. of Economics and Finance) and San Paolo IMI
Downloads 493 (89,826)
Citation 1

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5.

The Valuation of Bonds and Bond Options: Some Empirical Tests

Number of pages: 29 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 365 (127,382)

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6.

The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds

Number of pages: 27 Posted: 05 Mar 2004
Emilio Barone, Domenico Cuoco and Emerico Zautzik
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Pennsylvania - Finance Department and Bank of Italy
Downloads 341 (137,250)
Citation 2

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7.

The Valuation of Puttable Bonds: An Application of the Cox, Ingersoll and Ross Model to Italian Treasury Option Certificates

Number of pages: 17 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 312 (150,737)

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8.

An Integrated System for the Management of Interest Rate Risk

Number of pages: 20 Posted: 05 Mar 2004
Emilio Barone and Antonio Braghò
Luiss - Guido Carli (Dpt. of Economics and Finance) and San Paolo IMI
Downloads 286 (165,123)
Citation 1

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9.

Valuation of Floaters and Options on Floaters Under Special Repo Rates

Number of pages: 23 Posted: 31 Dec 2003
Emilio Barone and Stefano Risa
Luiss - Guido Carli (Dpt. of Economics and Finance) and affiliation not provided to SSRN
Downloads 279 (169,472)
Citation 4

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Floaters, options on floaters, special repo rates, interest-rate models

10.

A Unified VAR Approach

Number of pages: 27 Posted: 05 Mar 2004
Emilio Barone
Luiss - Guido Carli (Dpt. of Economics and Finance)
Downloads 276 (171,375)
Citation 1

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11.

The Valuation of Italian Floating Rate Treasuries

Number of pages: 44 Posted: 05 Mar 2004
Emilio Barone and Francesca Folonari
Luiss - Guido Carli (Dpt. of Economics and Finance) and San Paolo IMI
Downloads 264 (179,154)

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12.

Index-Linked Bonds from an Academic, Market and Policy-Making Standpoint

Number of pages: 22 Posted: 05 Mar 2004
Emilio Barone and Rainer Masera
Luiss - Guido Carli (Dpt. of Economics and Finance) and Libera Università degli Studi Sociali (LUISS) Guido Carli
Downloads 224 (210,170)
Citation 2

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13.

The Valuation of Multiple Options: An Application to the Exchange Rate Market of the Italian Lira

Number of pages: 23 Posted: 05 Mar 2004
Emilio Barone and Antonella Bucci
Luiss - Guido Carli (Dpt. of Economics and Finance) and SanPaolo IMI s.p.a.
Downloads 148 (302,187)

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14.

Implied Volatilities and Arbitrage Opportunities in the Italian Options Market

Number of pages: 30 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 144 (308,981)
Citation 1

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15.

Underwriting Fees and Power Derivatives

Number of pages: 19 Posted: 05 Mar 2004
Emilio Barone and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance) and Iason Ltd.
Downloads 136 (323,127)

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16.

Futures-Style Options on Euro-Deposit Futures: Nihil Sub Sole Novi?

Downloads 126 (342,214)

Futures-Style Options on Euro-Deposit Futures: Nihil Sub Sole Novi?

Number of pages: 23 Posted: 05 Mar 2004
Emilio Barone and Luca Mengoni
Luiss - Guido Carli (Dpt. of Economics and Finance) and IMI Bank
Downloads 126 (343,524)

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Futures-Style Options on Euro-Deposit Futures. Nihil Sub Sole Novi?

EUROPEAN FINANCIAL MANAGEMENT, Vol. 3 No. 1, 1997
Posted: 07 Nov 1996
Emilio Barone and Luca Mengoni
Luiss - Guido Carli (Dpt. of Economics and Finance) and IMI Bank

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17.

The Italian Market for 'Premium' Contracts: An Application of Option Pricing Theory

Number of pages: 30 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 106 (387,133)
Citation 4

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18.

Unscrambling Codes: From Hieroglyphs to Market News

International Journal on Natural Language Computing (IJNLC) Vol.11, No.6, December 2022
Number of pages: 17 Posted: 28 Mar 2022 Last Revised: 22 Jan 2023
Emilio Barone and Gaia Barone
Luiss - Guido Carli (Dpt. of Economics and Finance) and School of Business, National College of Ireland
Downloads 101 (400,092)

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Natural Language Processing, Hedge Funds

19.

The Making of Zero Curves

Number of pages: 28 Posted: 07 Sep 2021 Last Revised: 09 Jun 2022
Emilio Barone, Gaia Barone and Jeffrey C. Williams
Luiss - Guido Carli (Dpt. of Economics and Finance), School of Business, National College of Ireland and University of California, Davis
Downloads 97 (410,892)

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Credit, banking, risk management

20.

The Information Content of Tips

Number of pages: 20 Posted: 04 Nov 2012
Emilio Barone and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance) and Iason Ltd.
Downloads 92 (425,289)

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Treasury Inflation-Protected Securities, Cox-Ingersoll-Ross model, Siegel's paradox

21.

Italian Treasury Bills: Optimal Diversification of Auction Bids

Number of pages: 26 Posted: 05 Mar 2004
Emilio Barone
Luiss - Guido Carli (Dpt. of Economics and Finance)
Downloads 86 (443,403)

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22.

Derivatives and Usury: The Role of Options in Transactions Used to Act in Fraud of the Law

Number of pages: 11 Posted: 02 Nov 2015
Emilio Barone and Gennaro Olivieri
Luiss - Guido Carli (Dpt. of Economics and Finance) and Luiss Guido Carli University
Downloads 84 (449,593)
Citation 2

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put-call parity, forwards, box spreads, strangles, interest-rate swaps, collars, caps, floors, flat volatility, spot volatility

23.

Lending of Money and Shares Through the Riporti Market of the Milan Stock Exchange

Number of pages: 16 Posted: 05 Mar 2004
Jeffrey C. Williams and Emilio Barone
University of California, Davis and Luiss - Guido Carli (Dpt. of Economics and Finance)
Downloads 78 (469,560)
Citation 3

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24.

Deleveraging CAPM: Asset Betas vs. Equity Betas

Number of pages: 25 Posted: 14 Oct 2021
Emilio Barone and Gaia Barone
Luiss - Guido Carli (Dpt. of Economics and Finance) and School of Business, National College of Ireland
Downloads 73 (487,466)

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Asset management, derivatives, corporate finance, risk management

25.

Capital Requirements, Capital Adequacy and Risk Management

Number of pages: 22 Posted: 07 Mar 2015
Emilio Barone and Rainer Masera
Luiss - Guido Carli (Dpt. of Economics and Finance) and Università degli Studi Guglielmo Marconi
Downloads 65 (518,279)
Citation 1

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Capital Requirements, Capital Adequacy, Risk Management

26.

Tracking The EURO STOXX 50

Number of pages: 23 Posted: 27 Oct 2022 Last Revised: 23 Jan 2023
Emilio Barone and Gaia Barone
Luiss - Guido Carli (Dpt. of Economics and Finance) and School of Business, National College of Ireland
Downloads 51 (580,871)

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Asset management, derivatives, corporate finance, risk management

27.

Pricing Bonds and Bond Options Under Default Risk

Posted: 15 Jun 1998
Emilio Barone, Giovanni Barone-Adesi and Antonio Castagna
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.

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