After describing the various concepts of efficiency (information, valuation, full-insurance and
functional) with special reference to the Italian stock market, the paper analyzes the impact …

… Emilio Barone … Barone-Adesi and A. Castagna … 20 We follow the same notation as in
Barone and Risa (1995). Our valuation formulas are expressed in terms of Re 2 /( …

… Term Structure Estimation Using the Cox, Ingersoll, and Ross Model: The Case of Italian
Treasury Bonds / Barone, Emilio; Cuoco, D; Zautzik, E.. - In: THE JOURNAL OF FIXED …

The view put forward in this paper is that the index-linking of long-term public debt today
represents a financial instrument that fosters a low average rate of inflation. In particular, bonds …

Despite their growing importance on Italian stock exchanges, premium contracts have not
received very much attention in analytical studies. This paper starts with a description of the …

On January 29th, 1997, an historical date for the US Treasury, the first inflation-indexed
Treasury notes, for a nominal value of 7 billion of dollars, have been auctioned. These securities …

This paper describes a possible approach for determining the Value at Risk (VaR) of a
generic portfolio whose value changes depend on the variable conditions of financial markets. …

In this paper we analyze the problem of determining standby underwriting fees within the
framework of option-pricing theory. Financial institutions that provide standby underwriting for a …

This paper studies the valuation of floaters and options on floaters under the assumption of
a square root interest rate model. By incorporating the extension proposed by Duffie (1995) …

This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds
in the secondary market. The model is estimated daily for the period 30 December 1983 to …