Giovanni Barone Adesi

Swiss Finance Institute — Switzerland

Economics, Econometrics and Finance · Social Sciences

4h-index192citations20works2.02yr avg
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Research Topics

Stochastic processes and financial applications(9), Financial Risk and Volatility Modeling(6), Financial Markets and Investment Strategies(5), Credit Risk and Financial Regulations(4), Electric Power System Optimization(3)

Publications20 total

Managing the shortfall risk of target date funds by overfunding
Journal of Pensions Economics and Finance·2024· 2 citedOpen Access
On Using Equities to Produce Pension Payouts
Research paper series·2020
VaR and CVaR Implied in Option Prices
Journal of risk and financial management·2016· 31 citedOpen Access
Introduction
Palgrave Macmillan UK eBooks·2016
Modern Multi-Factor Analysis of Bond Portfolios: Critical Implications for Hedging and Investing
Palgrave Macmillan UK eBooks·2016· 3 citedOpen Access
Applying Error-Adjusted Hedging to Corporate Bond Portfolios
Palgrave Macmillan UK eBooks·2016
Overall Conclusion
Palgrave Macmillan UK eBooks·2016
Simulating Security Returns
Palgrave Macmillan US eBooks·2014
Introduction: Simulating Security Returns
Palgrave Macmillan US eBooks·2014
Backtesting Derivative Portfolios with FHS
Palgrave Macmillan US eBooks·2014· 4 cited
VaR without Correlations for Portfolios of Derivative Securities
Palgrave Macmillan US eBooks·2014· 28 cited
A GARCH Option Pricing Model with Filtered Historical Simulation
Palgrave Macmillan US eBooks·2014· 4 citedOpen Access
Deterministic and stochastic models for hedging electricity portfolio of a hydropower producer
Aisberg (University of Bergamo)·2013· 1 cited
Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
International series in management science/operations research/International series in operations research & management science·2011· 5 cited
A stochastic model for hedging electricity portfolio for an hydro-energy producer
Aisberg (University of Bergamo)·2010· 2 citedOpen Access
Market discipline in banking regulation: theory and evidence from Switzerland
reroDoc Digital Library·2008
Testing Asset Pricing Models With Coskewness
Journal of Business and Economic Statistics·2004· 112 cited
Introduction
Journal of Banking & Finance·2004
Testing Asset Pricing Model with Coskweness
RePEc: Research Papers in Economics·2004
Short-Term Volatility Timing Reduces Downside Risk
2001

Frequent Co-authors

Nicola Carcano(4), Patrick Gagliardini(3), Rosella Giacometti(3), Maria Teresa Vespucci(3), Giovanni Urga(2), Kostas Giannopoulos(2), Les Vosper(2), Eckhard Platen(2), Carlo Sala(2), Maria Bertocchi(2), Marida Bertocchi(1), Robert F. Engle(1), Loriano Mancini(1), Matteo Facchinetti(1), Enrico De Giorgi(1), Fabio Trojani(1), Hakim Dall’O(1)