Giovanni Barone Adesi

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Coauteurs

kostas giannopoulosProfessor of Finance, Neapolis University PafosAdresse e-mail validée de nup.ac.cy
Loriano ManciniUSI Lugano, Swiss Finance InstituteAdresse e-mail validée de usi.ch
Robert ElliottResearch Professor, University of South Australia.. Faculty Professor and Emeritus Professor CalgaryAdresse e-mail validée de ucalgary.ca
Robert WhaleyProfessor of Finance, Vanderbilt UniversityAdresse e-mail validée de vanderbilt.edu
Patrick GagliardiniProfessor of Econometrics, Università della Svizzera ItalianaAdresse e-mail validée de usi.ch
Hersh ShefrinProfessor of Finance, Santa Clara UniversityAdresse e-mail validée de scu.edu
Giovanni UrgaProfessor of Econometrics & Finance, Bayes Business School, London (U.K.)Adresse e-mail validée de city.ac.uk
Robert EngleNew York UniversityAdresse e-mail validée de stern.nyu.edu
Antonietta MiraProfessore di Statistica, Università della Svizzera italiana, LuganoAdresse e-mail validée de usi.ch
Emilio BaroneLUISS Guido Carli University of Rome | Stephen A. Ross Professor of Financial EconomicsAdresse e-mail validée de luiss.it
Henrik Obbekaer RasmussenHibriumAdresse e-mail validée de hibrium.com
Nicola FusariProfessor of FinanceAdresse e-mail validée de jhu.edu
Antonio CastagnaIason ltd and Milan PolitecnicoAdresse e-mail validée de iasonltd.com
Keith BrownProfessor of Finance, University of TexasAdresse e-mail validée de mccombs.utexas.edu
Van HarlowFidelity InvestmentsAdresse e-mail validée de fmr.com
Andrea GigliHEC PARISAdresse e-mail validée de hec.edu
Rosella GiacomettiUniversity of BergamoAdresse e-mail validée de unibg.it
Bernard Y. YeungNational University of SingaporeAdresse e-mail validée de nus.edu.sg
Randall MorckJarislowsky Professor of Finance, Distinguished University Professor of Business, University ofAdresse e-mail validée de ualberta.ca
Marc ChesneyDepartment of Banking and Finance, University of ZurichAdresse e-mail validée de bf.uzh.ch

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Giovanni Barone Adesi

Università della Svizzera italiana

Adresse e-mail validée de usi.ch - Page d'accueil

asset pricing derivatives risk management


Titre Trier par citations Trier par année Trier par titre	Citée par Citée par	Année
Efficient analytic approximation of American option values G Barone‐Adesi, RE Whaley the Journal of Finance 42 (2), 301-320, 1987	1751	1987
Mathematics of Financial Markets RJ Elliott Springer Finance, Springer-Verlag, 2005	903	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	531	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	377	2008
Don't look back F Bourgoin, K Giannopoulos, G Barone-Adesi	330	1998
Arbitrage equilibrium with skewed asset returns G Barone-Adesi Journal of Financial and Quantitative Analysis 20 (3), 299-313, 1985	211	1985
Backtesting derivative portfolios with filtered historical simulation (FHS) G Barone‐Adesi, K Giannopoulos, L Vosper European Financial Management 8 (1), 31-58, 2002	186	2002
Non parametric VaR techniques. Myths and realities G Barone‐Adesi, K Giannopoulos Economic Notes 30 (2), 167-181, 2001	147	2001
Testing asset pricing models with coskewness G Barone Adesi, P Gagliardini, G Urga Journal of Business & Economic Statistics 22 (4), 474-485, 2004	146	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	139	1987
The saga of the American put G Barone-Adesi Journal of Banking & Finance 29 (11), 2909-2918, 2005	103	2005
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	95	2003
Approximations for the values of American options G Barone-Adesi, RJ Elliott Stochastic Analysis and Applications 9 (2), 115-131, 1991	94	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	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	74	2005
Equity financing and corporate convertible bond policy P Jalan, G Barone-Adesi Journal of Banking & Finance 19 (2), 187-206, 1995	66	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	56	1995
Market models and heteroscedasticity of residual security returns G Barone-Adesi, PP Talwar Journal of Business & Economic Statistics 1 (2), 163-168, 1983	52	1983
VaR and CVaR implied in option prices G Barone Adesi Journal of Risk and Financial Management 9 (1), 2, 2016	45	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	41	2008

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