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 ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus ProfessorVerified email at ucalgary.ca
Robert WhaleyProfessor of Finance, Vanderbilt UniversityVerified email at vanderbilt.edu
Patrick GagliardiniProfessor of Econometrics, Università della Svizzera ItalianaVerified email at usi.ch
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 BaroneLUISS Guido Carli University of Rome | Stephen A. Ross Professor of Financial EconomicsVerified email at luiss.it
Henrik Obbekaer RasmussenHibriumVerified email at hibrium.com
Antonio CastagnaIason ltd and Milan PolitecnicoVerified email at iasonltd.com
Keith BrownProfessor of Finance, University of TexasVerified email at mccombs.utexas.edu
Van HarlowFidelity InvestmentsVerified email at fmr.com
Nicola FusariProfessor of FinanceVerified email at jhu.edu
Andrea GigliHEC PARISVerified email at hec.edu
Rosella GiacomettiUniversity of BergamoVerified email at unibg.it
Bernard Y. YeungNational University of SingaporeVerified email at nus.edu.sg
Randall MorckJarislowsky Professor of Finance, Distinguished University Professor of Business, University ofVerified email at ualberta.ca
Marc ChesneyDepartment of Banking and Finance, University of ZurichVerified email at bf.uzh.ch

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	1714	1987
Mathematics of financial markets RJ Elliott, PE Kopp Springer Science & Business Media, 2005	883	2005
VaR without correlations for portfolios of derivative securities G Barone‐Adesi, K Giannopoulos, L Vosper Journal of Futures Markets 19 (5), 583-602, 1999	522	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	367	2008
Don't look back G Barone-Adesi, F Bourgoin, K Giannopoulos	315	1998
Arbitrage equilibrium with skewed asset returns G Barone-Adesi Journal of Financial and Quantitative Analysis 20 (3), 299-313, 1985	209	1985
Backtesting derivative portfolios with filtered historical simulation (FHS) G Barone‐Adesi, K Giannopoulos, L Vosper European Financial Management 8 (1), 31-58, 2002	181	2002
Non parametric VaR techniques. Myths and realities G Barone‐Adesi, K Giannopoulos Economic Notes 30 (2), 167-181, 2001	146	2001
Testing asset pricing models with coskewness G Barone Adesi, P Gagliardini, G Urga Journal of Business & Economic Statistics 22 (4), 474-485, 2004	141	2004
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	134	1987
The saga of the American put G Barone-Adesi Journal of Banking & Finance 29 (11), 2909-2918, 2005	101	2005
Approximations for the values of American options G Barone-Adesi, RJ Elliott Stochastic Analysis and Applications 9 (2), 115-131, 1991	91	1991
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	90	2003
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	89	1986
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	70	2005
Equity financing and corporate convertible bond policy P Jalan, G Barone-Adesi Journal of Banking & Finance 19 (2), 187-206, 1995	65	1995
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	54	1995
Market models and heteroscedasticity of residual security returns G Barone-Adesi, PP Talwar Journal of Business & Economic Statistics 1 (2), 163-168, 1983	50	1983
VaR and CVaR implied in option prices G Barone Adesi Journal of Risk and Financial Management 9 (1), 2, 2016	42	2016
A GARCH option pricing model in incomplete markets G Barone-Adesi, RF Engle, L Mancini Review of Financial Studies 21 (3), 1223-1258, 2008	42	2008

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