Argo Magazine N.11 Winter 2016 (English version)
Argo Magazine N.10 Spring 2016 (English version)
Argo Magazine N.09 Winter 2016 (English version)
Argo Magazine N.08 Fall 2015 (English version)
Argo Magazine N.07 Summer 2015 (English version)
Argo Magazine N.06 Spring 2015 (Italian version)
Argo Magazine N.05 Winter 2015 (English version)
Argo Magazine N.04 Fall 2014 (Italian version)
Argo Magazine N.04 Fall 2014 (English version)
Argo Magazine N.03 Summer 2014 (Italian version)
Argo Magazine N.03 Summer 2014 (English version)
Argo Magazine N.02 Spring 2014 (Italian version)
Argo Magazine N.02 Spring 2014 (English version)
Argo Magazine N.01 Winter 2014 (Italian version)
Argo Magazine N.01 Winter 2014 (English version)
2016
Risk and Profitability of Sight Deposits in the Italian Banking Industry
Incremental Valuation of Derivatives Contracts
2015
Modelling of Libor-Ois Basis
Market Instruments for Collateral Management
2014
Towards a Theory of Internal Valuation and Transfer Pricing of Products in a Bank: Funding, Credit Risk and Economic Capital
Collateral Management: Processes, Tools and Metrics
2013
Un early warning indicator per la misura del rischio di controparti istituzionali implicita nei dati di mercato
The main risks of an FX options portfolio
The implied volatility surfaces
Some practical issues in FX and equity derivatives
Smile-consistent CMS adjustment in closed form: introducing the Vanna-Volga approach
Sight deposit and non-maturing liability modelling
Pricing swap including funding costs
Pricing of derivatives contracts under collater: agreements liquidity and funding value adjustments
Pricing of collateralized derivatives contracts when more than one currency are involved: liquidity and funding value adjustments
On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment?
Liquidity buffer risk management
Interrelations amongst liquidity, market and credit risk
Implementing CCR and CVA in a primary international bank
Funding Valuation Adjustment (FVA) and Theory of the Firm: A Theoretical Justification of the Inclusion of Funding Costs in the Evaluation of Financial Contracts
Funding, liquidity, credit and counterparty links and implications
Financial sector bond yield curves
Credit VaR: pillar II adjustments
CreVar: the toolkit to monitor and measure credit portfolio risks
Counterparty risk. Wrong way risk and liquidity issues
Consistent pricing of FX options
Committed credit lines: pricing and liquidity management
Basel II second pillar: an analytical VaR with contagion and sectorial risks
Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach
Analytical credit VaR with stochastic probabilities of defaults and recoveries
An introduction to counterparty risk
A framework to measure and manage the prepayment risk of mortgages
A framework to consistently monitor funding costs and transfer them into pricing
