Giovanni Barone Adesi

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kostas giannopoulosProfessor of Finance, Neapolis University PafosVerified email at nup.ac.cy
Loriano ManciniUSI Lugano, Swiss Finance InstituteVerified email at usi.ch
Robert WhaleyProfessor of Finance, Vanderbilt UniversityVerified email at vanderbilt.edu
Patrick GagliardiniProfessor of Econometrics, Università della Svizzera ItalianaVerified email at usi.ch
Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus ProfessorVerified email at ucalgary.ca
Hersh ShefrinProfessor of Finance, Santa Clara UniversityVerified email at scu.edu
Giovanni UrgaProfessor of Econometrics & Finance, Bayes Business School, London (U.K.)Verified email at city.ac.uk
Robert EngleNew York UniversityVerified email at stern.nyu.edu
Antonietta MiraProfessore di Statistica, Università della Svizzera italiana, LuganoVerified email at usi.ch
Emilio Barone | Intesa Sanpaolo Chair...LUISS Guido Carli University of RomeVerified email at luiss.it
Antonio CastagnaIason ltd and Milan PolitecnicoVerified email at iasonltd.com
Henrik Obbekaer RasmussenHibriumVerified email at hibrium.com
Nicola FusariAssociate Professor, Johns Hopkins Carey Business SchoolVerified email at jhu.edu
Andrea GigliIQVIAVerified email at iqvia.com
Rosella GiacomettiUniversity of BergamoVerified email at unibg.it
Bernard Y. YeungNational University of SingaporeVerified email at nus.edu.sg
Keith BrownProfessor of Finance, University of TexasVerified email at mccombs.utexas.edu
Van HarlowFidelity InvestmentsVerified email at fmr.com
Randall MorckJarislowsky Professor of Finance, Distinguished University Professor of Business, University ofVerified email at ualberta.ca
Fabio TrojaniProfessor of Finance (University of Geneva), AXA Chair (University of Turin), Senior Chair (SFI)Verified email at alphacruncher.com

Giovanni Barone Adesi

Università della Svizzera italiana

Verified email at usi.ch - Homepage

asset pricing derivatives risk management


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Efficient analytic approximation of American option values G Barone‐Adesi, RE Whaley the Journal of Finance 42 (2), 301-320, 1987	1641	1987
VaR without correlations for portfolios of derivative securities G Barone‐Adesi, K Giannopoulos, L Vosper Journal of Futures Markets 19 (5), 583-602, 1999	491	1999
A GARCH option pricing model with filtered historical simulation G Barone-Adesi, RF Engle, L Mancini The review of financial studies 21 (3), 1223-1258, 2008	315	2008
Don't look back G Barone-Adesi, F Bourgoin, K Giannopoulos	290	1998
Arbitrage equilibrium with skewed asset returns G Barone-Adesi Journal of Financial and Quantitative Analysis 20 (3), 299-313, 1985	207	1985
Backtesting derivative portfolios with filtered historical simulation (FHS) G Barone‐Adesi, K Giannopoulos, L Vosper European Financial Management 8 (1), 31-58, 2002	163	2002
Testing asset pricing models with coskewness G Barone Adesi, P Gagliardini, G Urga Journal of Business & Economic Statistics 22 (4), 474-485, 2004	137	2004
Non parametric VaR techniques. Myths and realities G Barone‐Adesi, K Giannopoulos Economic Notes 30 (2), 167-181, 2001	133	2001
Seasonality in Canadian stock prices: A test of the “tax-loss-selling” hypothesis SM Tinic, G Barone-Adesi, RR West Journal of Financial and Quantitative Analysis 22 (1), 51-63, 1987	129	1987
The saga of the American put G Barone-Adesi Journal of Banking & Finance 29 (11), 2909-2918, 2005	93	2005
Approximations for the values of American options G Barone-Adesi, RJ Elliott Stochastic Analysis and Applications 9 (2), 115-131, 1991	88	1991
The valuation of American call options and the expected ex-dividend stock price decline G Barone-Adesi, RE Whaley Journal of Financial Economics 17 (1), 91-111, 1986	85	1986
Two-factor convertible bonds valuation using the method of characteristics/finite elements G Barone-Adesi, A Bermúdez, J Hatgioannides Journal of Economic Dynamics and Control 27 (10), 1801-1831, 2003	81	2003
Equity financing and corporate convertible bond policy P Jalan, G Barone-Adesi Journal of Banking & Finance 19 (2), 187-206, 1995	63	1995
An option pricing formula for the GARCH diffusion model G Barone-Adesi, H Rasmussen, C Ravanelli Computational Statistics & Data Analysis 49 (2), 287-310, 2005	62	2005
Numerical evaluation of the critical price and American options W Allegretto, G Barone-Adesi, RJ Elliott The European Journal of Finance 1 (1), 69-78, 1995	52	1995
Market models and heteroscedasticity of residual security returns G Barone-Adesi, PP Talwar Journal of Business & Economic Statistics 1 (2), 163-168, 1983	48	1983
A GARCH option pricing model in incomplete markets G Barone-Adesi, RF Engle, L Mancini Review of Financial Studies 21 (3), 1223-1258, 2008	41	2008
On the valuation of American put options on dividend-paying stocks G Barone-Adesi, RE Whaley University of Alberta. Institute for Financial Research, 1988	39	1988
VaR and CVaR implied in option prices G Barone Adesi Journal of Risk and Financial Management 9 (1), 2, 2016	37	2016

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