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Antonio Castagna
Founder and Managing Partner

Linkedinantonio.castagna@iasonltd.com
Antonio Castagna is currently managing partner and founder of the consulting company Iason. He previously was in Banca IMI, Milan, from the 1999 to 2006: there, he first worked as a market maker of cap/floor’s and swaptions; then he set up the FX options desk and ran the book of plain vanilla and exotic options on the major currencies, being also responsible for the entire FX volatility trading. He started his carrier in the investment banking in the 1997 in IMI Bank, in Luxemborug, as a financial analyst in the Risk Control Department. He graduated in Finance at LUISS University in Rome in 1995, with a thesis on American options and the numerical procedures for their valuation. He wrote papers on different topics, including credit risk, derivative pricing, collateral management, managing of exotic options risks and volatility smiles. He is also author of the books “FX options and smile risk” and “Measuring and Managing Liquidity Risk”, both published by Wiley.
Risk and Profitability of Sight Deposits in the Italian Banking Industry
Authors: Antonio Castagna, Giovanni Mistè
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2019-07:
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2016-11:
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Modelling of Libor-Ois Basis
Authors: Matteo Camelia, Antonio Castagna, Andrea Cova
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2019-06:
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2015-05:
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Market Instruments for Collateral Management
Author: Antonio Castagna
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2019-05:
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2015-01:
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Collateral Management: Processes, Tools and Metrics
Author: Antonio Castagna
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2019-05:
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2014-08:
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Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital
Author: Antonio Castagna
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2019-05:
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2013-06:
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Advances in Incremental Valuation of Financial Contracts and Definition of the Economic Meaning of the Capital Value Adjustment (KVA)
Author: Antonio Castagna
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2019-02:
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Analysis of the New Standards to Measure and Manage the Risk of the Banking Book Issued by BIS
Author: Antonio Castagna
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2018-05:
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Modelling Banking Commissions
Authors: Antonio Castagna, Federico Mondonico
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2018-05:
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Benchmark Framework for NMDM
Authors: Antonio Castagna, Antonio Scaravaggi
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2017-12:
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Incremental Valuation of Derivatives Contracts

2015-05:
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Sight deposit and non-maturing liability modelling
Authors: Antonio Castagna, Francesco Manenti
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2013-05:
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Pricing of derivatives contracts under collater: agreements liquidity and funding value adjustments

2013-03:
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Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach
Authors: Antonio Castagna, Fabio Mercurio, Marco Tarenghi
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2013-01:
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Consistent pricing of FX options
Authors: Antonio Castagna, Fabio Mercurio
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2013-01:
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On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment?

2012-07:
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Interrelations amongst liquidity, market and credit risk

2012-02:
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Pricing swap including funding costs
Author: Antonio Castagna
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2011-07:
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Funding, liquidity, credit and counterparty links and implications
Author: Antonio Castagna
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2011-07:
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An introduction to counterparty risk

2011-01:
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Counterparty risk. Wrong way risk and liquidity issues

2011-01:
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