Antonio Castagna


"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".


Analytical credit VaR with stochastic probabilities of defaults and recoveries

Pricing swaps including funding costs

Funding, liquidity, credit and counterparty links and implications

Analytical pricing of CDOs in a multi-factor setting by a moment-matching approach

On the dynamic replication of the DVA: do banks hedge their debit value adjustment or their destroying value adjustment?

Sight deposit and non-maturing liability modelling