Andrea Petrelli

Credit Suisse Securities

One Cabot Square

London, E14 4QJ

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 14,709

SSRN RANKINGS

Top 14,709

in Total Papers Downloads

3,278

SSRN CITATIONS
Rank 47,311

SSRN RANKINGS

Top 47,311

in Total Papers Citations

3

CROSSREF CITATIONS

7

Scholarly Papers (4)

1.

Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning

Number of pages: 85 Posted: 01 Jan 2010 Last Revised: 21 Jun 2019
Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology, affiliation not provided to SSRN and Volaris Capital Management
Downloads 1,167 (17,345)
Citation 3

Abstract:

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options, hedging, kurtosis, skewness, residual-risk, transaction-costs, hurdle-return, risk-capital, volatility trading

2.

General Auto-Regressive Asset Model

Number of pages: 40 Posted: 02 Jul 2009 Last Revised: 07 Jan 2010
affiliation not provided to SSRN, Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology and Volaris Capital Management
Downloads 893 (25,777)
Citation 1

Abstract:

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asymmetry, skewness, leverage-effect, kurtosis, filtering, conditional simulation, financial time-series

3.

Optimal Dynamic Hedging of Multi-Asset Options

Number of pages: 50 Posted: 13 Mar 2009
Credit Suisse Securities, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, Stevens Institute of Technology and Volaris Capital Management
Downloads 840 (28,075)
Citation 2

Abstract:

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Multi-Asset Option, Correlation-Trading, Hedging, Residual-Risk, Risk-Capital, Hurdle-Rate

4.

Multi Currency Credit Default Swaps: Quanto Effects and FX Devaluation Jumps

Number of pages: 40 Posted: 16 Dec 2015 Last Revised: 22 Jan 2018
Damiano Brigo, Nicola Pede and Andrea Petrelli
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics and Credit Suisse Securities
Downloads 378 (78,408)
Citation 4

Abstract:

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Credit Default Swaps, Liquidity spread, Liquidity pricing, Intensity models, Reduced Form Models, Capital Asset Pricing Model, Credit Crisis, Liquidity Crisis, Devaluation jump, FX devaluation, Quanto Credit effects, Quanto CDS, Multi currency CDS