Giovanni Barone Adesi
http://usi.to/emk
Publications
Key publications (4)
- Barone Adesi G., Engle R. (2008) A GARCH Option Pricing Model with Filtered Historical Simulation
- Barone Adesi G., Elliott R. J. (2006) Cutting the Hedge
- Barone Adesi G. (2005) The Saga of the American Put
- Barone Adesi G., Whaley R. E. (1987) Efficient Analytic Approximation of American Option Values
Journal Article (32)
- Mira A., Barone Adesi G., Fusari N., Sala C. (2020) Option Market Trading Activity and the Estimation of the Pricing Kernel: a Bayesian Approach, Journal of Econometrics:430-449
- Barone Adesi G. (2016) VaR and CVaR Implied in Option Prices, Journal of Financial Risk Management:5-15
- Barone Adesi G., Farkas W., Koch-Medina P. (2014) Capital Levels and Risk-Taking Propensity in Financial Institutions, Accounting and Finance Research:85-89
- Barone Adesi G., Geman H., Theal J. (2014) On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market, International Journal of Financial Engineering and Risk Management, Vol.1, N.3:282-307
- Barone Adesi G., Dall'O H., Vovchak V. (2012) Is the Price Kernel Monotone?, Journal of Finance and Risk Perspectives:43-69
- Barone Adesi G., Sorwar G. (2011) Valuation of Two Factor Interest rate models Using Green’s Theorem, Applied Mathematical Finance, Vol. 18:277-289
- Barone Adesi G., Sorwar G. (2010) Value at Risk under Jump GARCH processes, Banking and Finance Review, Vol. 2, Issue 1:5-15
- Barone Adesi G., Engle R. (2008) A GARCH Option Pricing Model with Filtered Historical Simulation, Review of Financial Studies, 21 (May 2008), pp.1223-1258
- Barone Adesi G., Fusari N., Theal J. (2008) Barrier Option Pricing Using Adjusted Transition Probabilities, Journal of Derivatives, Vol.16 (Winter 2008)
- Sorwar G., Barone Adesi G., Allegretto W. (2007) Valuation of Derivatives Based on Single Factor Interest Rate Models, The Global Finance Journal,Vol.18,N.2, pp.251-269
- Audrino F., Barone Adesi G. (2006) A Dynamic Model of Expected Bond Returns: a Functional Gradient Descent Approach, Computational Statistics and Data Analysis 51, No. 4, 2267-2277
- Audrino F., Barone Adesi G. (2006) Average Conditional Correlation and Tree Structures for Multivariate GARCH Models, Journal of Forecasting 25, 579-600
- Barone Adesi G., Elliott R. J. (2006) Cutting the Hedge, Computational Economics (forthcoming)
- Audrino F., Barone Adesi G. (2005) A multivariate FGD technique to improve VaR computation in equity markets, Computational Management Science 2, Issue 2, 87-106
- Audrino F., Barone Adesi G. (2005) Functional Gradient Descent for financial time series with an application to the measurement of market risk, Journal of Banking and Finance 29, Issue 4, April 2005, 959-977
- Barone Adesi G. (2005) The Saga of the American Put, Journal of Banking and Finance
- Audrino F., Barone Adesi G., Mira A. (2005) The Stability of Factor Models of Interest Rates, Journal of Financial Econometrics 3, No. 3, 422-441
- Barone Adesi G., Rasmussen H., Ravanelli C. (2004) An option pricing formula for the GARCH diffusion model, Computational Statistics and Data Analysis
- Barone Adesi G. (2004) Hidden Dangeris, in Denaris
- Barone Adesi G., Gagliardini P., Urga G. (2004) Testing Asset Pricing Models with Coskewness, Journal of Business and Economic Statistics, 22, 474-485
- Barone Adesi G., Giannopoulos K., Vosper L. (2002) "Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)", European Financial Management, pp. 31-58. March 2002
- Barone Adesi G., Sorwar G. (2002) "Interest Rate Barrier Options", in Computational Methods in Decision Making,Economics and Finance, E. Kontoghiorghes et al. editors, Kluwer Academic Publishing, pp. 313-322
- Barone Adesi G., Giannopoulos K. (2001) "Non-parametric VaR Techniques. Myths and Realities", Economic Notes by Banca Monte dei Paschi di Siena, 30, n. 2-2001, pp. 167-181.
- Barone Adesi G., Gagliardini P., Trojani F. (2001) Short-Term Volatility Timing Reduces Downside Risk, International Journal of Finance, 13, Nr. 2, 1794-1825
- Barone Adesi G. (2000) "Does Volatility Pay?", The Journal of Risk Finance, 2. Fall 2000
- Barone Adesi G., Allegretto W., Dinenis E., Lin Y., Sorwar G. (1999) "A New Approach to Check the Free Boundary of Single Factor Interest Rate Put Options", Finance 20, 2/1999
- Barone Adesi G., Giannopoulos K. (1999) "The Case for Non-Parametric Market Risk Measures", Risk Professional. December 1999
- Barone Adesi G., Giannopoulos K., Vosper L. (1999) "VaR without Correlations for Portfolios of Derivative Securities", Journal of Futures Markets. August 1999.
- Barone Adesi G., Bourgoin F., Giannopoulos K. (1998) "Don´t Look Back", Risk. August 1998.
- Barone Adesi G., Barone E., Castagna G. (1998) "Pricing Bonds and Bond Options with Default Risk", European Journal of Financial Management. July 1998
- Barone Adesi G., Giannopoulos K. (1996) "A Simplified Approach to the Estimation of Value at Risk", Futures and Options World. October 1996
- Barone Adesi G., Whaley R. E. (1987) Efficient Analytic Approximation of American Option Values, Journal of Finance:301-320
Book (2)
- Barone Adesi G., Carcano N. (forthcoming) Modern multi-factor analyses of bond portfolios: critical implications for hedging and investing. Palgrave MacMillan
- Barone Adesi G., Giannopoulos K. (2015) Simulating Security Returns. Palgrave- MacMillan
Book chapter (13)
- Barone Adesi G., Mancini L., Shefrin H. (2013) Systemic Risk and Sentiment. Handbook on Systemic Risk and Sentiment. Cambridge University Press, 45-61
- Barone Adesi G., Siragusa S. (2012) Hedge Fund Replication. Linear Model for Passive Hedge Fund. Palgrave MacMillan, 133-145
- Barone Adesi G., Giacometti R., Vespucci M., Bertocchi M. (2012) Hedging Electricity Portfolio for a Hydro-Energy Producer via Stochastic Programming. Stochastic Optimization Methods in Finance and Energy. Springer, 34-49
- Barone Adesi G., Gagliardini P., Urga G. (2006) A Test of the Homogeneity of Asset Pricing Models. inMulti-moment Asset Allocation and Pricing Models
- Barone Adesi G., Giannopoulos K. (2003) "Simulating Value at Risk: filtering historical simulation", Metodi statistici per la finanza ed assicurazioni. Vita e Pensiero, Milan
- Barone Adesi G. (1995) Industry Canada Research Volume Series. Commentary on Corporate Governance and Firm Performance, Vol. 5
- Barone Adesi G. (1995) "La Consulenza Finanziaria Alle Imprese" in Le Banche e l'efficienza Lasfida Possibile. Edibank, Milan
- Barone Adesi G. (1993) "L'Innovazione Finanziaria: Rischi e Opportunita," I Derivati Finanziari. Edibank
- Barone Adesi G., Penati A. (1992) "Options to trade foreign currency at the most favorable rate" in Large Scale Economic and Finance Applications: New Tools and Methodologies. Franco Angeli
- Barone Adesi G., Hamaui R. (1992) "Titoli di Stato e Credibilita della Politica Economica", Il Mercato Dei Titoli di Stato in Italia. Il Mulino
- Barone Adesi G., Penati A. (1991) "Il mercato dei warrant: una prima valutazione", Il Rischio Azionario e la Borsa. Edizioni Giuridiche Economiche Aziendali
- Barone Adesi G., Tinic S. (1987) "Stock Returns Seasonality and the Tests of Asset Pricing Models: Canadian Evidence", in Stock Market Regularities. editor E. Dimson, Cambridge University Press
- Barone Adesi G., "Stochastic Processes". Entry for the Blackwell Dictionary of Management
Working paper (2)
- Barone Adesi G., Sorwar G., Allegretto W. (2006) Valuation of Derivatives Based on Single Factor Interest Rate Models
- Barone Adesi G., Engle R. (2004) GARCH Options in Incomplete Markets
Other publication (3)
- Barone Adesi G., Aldabe A., Elliott R. J. (1998) "Option Pricing with Regularized Fractional Brownian Motions"
- Barone Adesi G., Dinenis E., Sorwar C. (1997) "A Note on the Use of Binomial Models for Interest-Rate Securities"
- Barone Adesi G., Giannopoulos K. (1996) "Why Should Managers Care About VAR"
