Antonio De Simone

University of Naples Federico II - Faculty of Economics

Via Cintia, Monte S. Angelo

Napoli, 80126

Italy

SCHOLARLY PAPERS

7

DOWNLOADS

554

CITATIONS

1

Scholarly Papers (7)

1.

Interest Rate Models for Pricing Derivatives: The Case of Cap Contracts

Number of pages: 22 Posted: 27 Jan 2010 Last Revised: 30 Sep 2010
Antonio De Simone
University of Naples Federico II - Faculty of Economics
Downloads 178 (130,950)

Abstract:

Cox Ingersoll and Ross, Black Derman and Toy, Libor Market Model, Lognormal Forward-Libor Model, Cap, Interest Rate Risk

2.

Pricing Interest Rate Derivatives Under Different Interest Rate Modeling: A Critical and Empirical Comparison

Investment Management and Financial Innovations, Vol. 7, No. 2, 2010
Number of pages: 10 Posted: 04 Feb 2011
Antonio De Simone
University of Naples Federico II - Faculty of Economics
Downloads 158 (110,679)
Citation 1

Abstract:

Cox Ingersoll and Ross, Black Derman and Toy, Libor Market Model, Lognormal Forward-Libor Model, cap, interest rate risk

3.

Crisis, Governance and Performance: Evidence from the Banking Sector

ADEIMF Conference: Global Financial Crisis and Management of Financial Intermediaries: Old and New Paradigms, Udine, June 11-12, 2010
Number of pages: 32 Posted: 04 Feb 2011 Last Revised: 01 Mar 2011
Antonio De Simone
University of Naples Federico II - Faculty of Economics
Downloads 112 (186,042)

Abstract:

Two tier board, One tier board, bank governance, bank performance, F.F. Three factor model

4.

An 'Economical' Pricing Model for Hybrid Products

Posted: 11 Feb 2015
Rosa Cocozza and Antonio De Simone
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics

Abstract:

5.

The Pricing of Equity-Linked Contingent Claims Under a Lognormal Short Rate Dynamics

Posted: 14 Apr 2011
Rosa Cocozza and Antonio De Simone
University of Naples Federico II - Faculty of Economics and University of Naples Federico II - Faculty of Economics

Abstract:

option pricing, stochastic short rate model, binomial tree

6.

An Insight into Banks' Pricing: The Case of Covered Warrant

Posted: 11 Apr 2011
Rosa Cocozza, Antonio De Simone and Angela Gallo
University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics and Università di Salerno - Faculty of Economics

Abstract:

covered warrant, mispricing, participation cost, market power.

7.

Participating Policies: Risk and Value Drivers in a Financial Management Perspective

Posted: 09 Jan 2011 Last Revised: 06 Feb 2011
University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics, University of Naples Federico II - Faculty of Economics and Università degli Studi di Salerno

Abstract:

Participating Policies, Pension Annuities, Stochastic Interest Rates, Operating Income