Federico Maglione

University of Florence — Italy

Economics, Econometrics and Finance · Social Sciences

3h-index32citations12works1.02yr avg
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Research Topics

Credit Risk and Financial Regulations(6), Stochastic processes and financial applications(5), Banking stability, regulation, efficiency(4), Financial Markets and Investment Strategies(3), Complex Systems and Time Series Analysis(3)

Publications12 total

Introducing and testing the Carr model of default
Quantitative Finance·2024· 1 cited
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options
Risks·2023Open Access
Going green: Environmental risk management, market value and performance
Corporate Social Responsibility and Environmental Management·2023· 22 citedOpen Access
Market Leverage and Financial Soundness
SSRN Electronic Journal·2023Open Access
Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution
The Journal of Derivatives·2022· 3 cited
Credit Spreads, Leverage and Volatility: A Cointegration Approach
Computation·2022· 5 citedOpen Access
Credit Spreads, Leverage and Volatility: A Cointegration Approach
2022
The Impact of Credit Risk on Equity Options
SSRN Electronic Journal·2020· 1 citedOpen Access
The Use of Compound Options for Credit Risk Modelling
City Research Online (City University London)·2020Open Access
Multifractality in Finance: A Deep Understanding and Review of Mandelbrot's MMAR
SSRN Electronic Journal·2015Open Access
Multifractality in Finance: A deep understanding and review of Mandelbrot's MMAR
RePEc: Research Papers in Economics·2015Open Access
Fractal and Multifractal models for price changes
2013

Frequent Co-authors

Lorenzo Dal Maso(1), Laura Gianfagna(1), Nicola Lattanzi(1), Peter W. Carr(1), Maria Elvira Mancino(1), Berardino Palazzo(1), Raffaele Corvino(1)