Giuseppe Di Graziano

J.P. Morgan Chase & Co.

60 Wall St.

New York, NY 10260

United States

SCHOLARLY PAPERS

2

DOWNLOADS

297

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Dynamic Mis-Specification in Local-Stochastic Volatility Models

Number of pages: 13 Posted: 08 May 2009 Last Revised: 01 Jun 2009
Giuseppe Di Graziano and Stefano Galluccio
J.P. Morgan Chase & Co. and BNP Paribas Fixed Income
Downloads 297 (112,075)

Abstract:

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Replication error, model selection, local and stochastic volatility modelling, implied stochastic volatility

2.

On Model Selection and its Impact on the Hedging of Financial Derivatives

ADVANCES IN RISK MANAGEMENT, Gregoriou, G.N., ed., Palgrave-MacMillan, November 2006
Posted: 06 Jul 2007
Stefano Galluccio and Giuseppe Di Graziano
BNP Paribas Fixed Income and J.P. Morgan Chase & Co.

Abstract:

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Model selection, Stochastic volatility modelling, Replication error