Items where Author is "Barone, Gaia"

Article

Barone, Gaia (2021) Explaining Credit Ratings through a Perpetual-Debt Structural Model. Journal of Credit Risk, 17 (2). ISSN 1755-9723

Barone, Gaia (2018) Replication of credit ratings by a Perpetual-Debt Structural Model. Bancaria, 74 (5). pp. 24-40.

Barone, Gaia (2013) European Compound Options Written on Perpetual American Options. The Journal of Derivatives, 20 (3). pp. 61-74. ISSN 2168-8524

Barone, Gaia (2008) Arbitrages and Arrow-Debreu Prices. Rivista di Politica Economica, 98 (6). pp. 43-78.

Book Section

Barone, Gaia (2012) An Equity-Based Credit Risk Model. In: Derivative Securities Pricing and Modelling. Contemporary Studies in Economic and Financial Analysis (94). Emerald Group Publishing Limited, Bingley, pp. 351-378. ISBN 9781780526164

Conference or Workshop Item

Barone, Gaia (2018) Mimicking Credit Ratings by a Perpetual-Debt Structural Model. In: 10th World Congress of the Bachelier Finance Society, 16th-20th July 2018, Trinity College, Dublin. (Submitted)

Barone, Gaia (2017) Deleveraging CAPM: Asset Betas vs. Equity Betas. In: European Financial Management Association 2017 Annual Conference, 28th June - 1st July 2017, Deree – The American College of Greece, Athens, Greece. (Submitted)

Barone, Gaia (2016) Mimicking Credit Ratings by a Perpetual-Debt Structural Model. In: 7th World Finance Conference, 29th-21st July 2016, St John's University, New York City, USA. (Submitted)

Barone, Gaia (2014) Equity Options, Credit Default Swaps and Leverage: A Simple Stochastic-Volatility Model For Equity and Credit Derivatives. In: World Finance Conference, 2nd-4th July 2014, Ca` Foscari University, Venice, Italy. (Submitted)

Barone, Gaia (2014) Equity Options, Credit Default Swaps and Leverage: A simple Stochastic-Volatility Model For Equity and Credit Derivatives. In: 23rd EFMA Conference, 25th-28th June 2014, Tor Vergata University of Rome, Italy. (Submitted)

Barone, Gaia (2012) Equity Options, Credit Default Swaps and Leverage. In: XXI International Conference on Money, Banking and Finance, 10th-11th December 2012, CASMEF – LUISS, University LUISS Guido Carli, Rome, Italy. (Submitted)

Barone, Gaia (2012) Un modello à la Leland per l'analisi del rischio di credito. In: Seminar, 16th April 2012, Centro Arcelli per gli Studi Monetari e Finanziari (CASMEF), University LUISS Guido Carli, Rome, Italy. (Submitted)

Barone, Gaia (2011) Equity options, credit default swaps e leverage: un semplice modello a volatilità stocastica per i derivati azionari e creditizi. In: Working Paper no. 5: CASMEF Working Paper Series, June 2011, Arcelli Centre for Monetary and Financial Studies, Department of Economics and Business, LUISS Guido Carli, Rome, Italy.

Barone, Gaia (2011) Opzioni Europee Composte scritte su Opzioni Americane Perpetue. In: Research Paper, March 2011. (Submitted)

Barone, Gaia (2011) Equity Options and Bond Options in the Leland Model. In: Research Paper, March 2011. (Submitted)

Barone, Gaia (2011) Equity Options, Credit Default Swaps and Leverage: A Simple Stochastic-Volatility Model for Equity and Credit Derivatives. In: Research Paper, May 2011. (Submitted)

Barone, Gaia (2011) Opzioni su azioni e obbligazioni nel modello di Leland. In: Research Paper, April 2011. (Submitted)

Barone, Gaia (2008) Index Options as Compound Options on Assets. In: Research paper, April 2008. (Submitted)

Barone, Gaia (2007) I have a DRM. In: Research Paper, May 2007. (Submitted)

Barone, Gaia (2007) Separare la Rete? In: Research paper, May 2007. (Submitted)

Barone, Gaia (2006) Target the Two. In: Research Paper, May 2006. (Submitted)

Barone, Gaia (2005) Fed funds futures. In: Research Paper, February 2005. (Submitted)

Barone, Gaia (2005) Probability of Default. In: Research Paper, May 2005. (Submitted)

Barone, Gaia (2004) The Many Facets of Risk. In: Research Paper, November 2004. (Submitted)

Barone, Gaia (2004) The Singling out of the Chinese Renminbi. In: Research Paper, November 2004. (Submitted)

Book

Barone, Gaia, Fersini, Paola, Forte, Salvatore, Melisi, Giuseppe and Olivieri, Gennaro (2017) Previdenza complementare: Proiezioni di lungo periodo nell’ottica dell’analisi di sostenibilità. LUISS University Press, Roma. ISBN 9788868560942

Barone, Gaia (2012) Arbitraggi e algebra di Garman. CreateSpace. ISBN 9781481034449

Barone, Gaia (2012) Arbitraggi e prezzi Arrow-Debreu. CreateSpace. ISBN 9781481051231