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/

SCHOLARLY PAPERS

25

DOWNLOADS
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SSRN RANKINGS

Top 9,615

in Total Papers Downloads

6,500

SSRN CITATIONS
Rank 25,006

SSRN RANKINGS

Top 25,006

in Total Papers Citations

26

CROSSREF CITATIONS

12

Ideas:
“  Equity-based Credit-risk Models  ”

Scholarly Papers (25)

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 1,026 (28,418)
Citation 19

Abstract:

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2.

Pricing Bonds and Bond Options with Default Risk

Number of pages: 43 Posted: 05 Mar 2004
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.
Downloads 874 (35,574)
Citation 2

Abstract:

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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 788 (41,043)

Abstract:

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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 481 (77,382)
Citation 1

Abstract:

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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 356 (109,688)

Abstract:

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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 327 (120,485)
Citation 2

Abstract:

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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 305 (129,762)

Abstract:

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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 279 (142,532)
Citation 1

Abstract:

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9.

A Unified VAR Approach

Number of pages: 27 Posted: 05 Mar 2004
Emilio Barone
Luiss - Guido Carli (Dpt. of Economics and Finance)
Downloads 269 (147,952)
Citation 1

Abstract:

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10.

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 265 (150,169)
Citation 4

Abstract:

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

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 252 (158,022)

Abstract:

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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 216 (183,068)
Citation 2

Abstract:

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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 142 (263,142)

Abstract:

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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 135 (273,726)
Citation 1

Abstract:

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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 125 (290,032)

Abstract:

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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 114 (311,492)

Abstract:

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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

Abstract:

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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 96 (347,713)
Citation 4

Abstract:

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18.

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 78 (394,468)

Abstract:

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

19.

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 76 (400,329)

Abstract:

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20.

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 69 (422,126)
Citation 2

Abstract:

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

21.

The Making of Zero Curves

Number of pages: 28 Posted: 07 Sep 2021 Last Revised: 02 Oct 2021
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 61 (449,415)

Abstract:

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Credit, banking, risk management

22.

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 57 (464,333)

Abstract:

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Asset management, derivatives, corporate finance, risk management

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 56 (468,056)
Citation 2

Abstract:

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24.

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 53 (479,652)
Citation 1

Abstract:

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Capital Requirements, Capital Adequacy, Risk Management

25.

Pricing Bonds and Bond Options Under Default Risk

Posted: 15 Jun 1998
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Lugano and Iason Ltd.

Abstract:

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