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Option market trading activity and the estimation of the pricing kernel : a Bayesian approach

Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - In: Journal of econometrics 216 (2020) 2, pp. 430-449

Persistent link: https://www.econbiz.de/10012439749

Barone-Adesi, Giovanni - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-6

VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest...

Persistent link: https://www.econbiz.de/10011544027

The design of new derivative markets

Barone-Adesi, Giovanni - In: Risk management in commodity markets : from shipping to …, (pp. 51-59). 2008

Persistent link: https://www.econbiz.de/10003787690

Maximum likelihood tests of option pricing models

Barone-Adesi, Giovanni - In: Advances in futures and options research : a research annual 1 (1986), pp. 181-192

Persistent link: https://www.econbiz.de/10001339366

I derivati finanziari : profili economici, giuridici e finanziari

Barone-Adesi, Giovanni (contributor); … - 1993 - 1. ed

Persistent link: https://www.econbiz.de/10000876024

Valuation of derivatives based on single-factor interest rate models

Sorwar, Ghulam; Barone-Adesi, Giovanni; Allegretto, Walter - In: Global finance journal 18 (2007) 2, pp. 251-269

Persistent link: https://www.econbiz.de/10003704514

On the lease rate, convenience yield and speculative effects in the gold futures market

Barone-Adesi, Giovanni; Geman, Hélyette; Theal, John - In: International journal of financial engineering and risk … 1 (2014) 3, pp. 282-307

Persistent link: https://www.econbiz.de/10010476912

Backtesting derivative portfolios with filtered historical simulation (FHS)

Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: European financial management : the journal of the … 8 (2002) 1, pp. 31-58

Persistent link: https://www.econbiz.de/10001688408

Managing electricity risk

Barone-Adesi, Giovanni; Gigli, Andrea - In: Economic notes : economic review of Banca Monte dei … 32 (2003) 2, pp. 283-294

Persistent link: https://www.econbiz.de/10001790812

On the valuation of American put options on dividend-paying stocks

Barone-Adesi, Giovanni - In: Advances in futures and options research : a research annual 3 (1988), pp. 1-13

Persistent link: https://www.econbiz.de/10001081742