Antonio Mele
Names
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Antonio |
| last: |
Mele |
Identifer
Contact
| homepage: |
https://antoniomele.org/ |
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| postal address: |
Antonio Mele
Professor of Finance, Università della Svizzera Italiana
& Senior Chair, Swiss Finance Institute
Via Buffi 13
6900 Lugano
Switzerland
Switzerland |
Affiliations
Research profile
author of:
- Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models (RePEc:aah:create:2009-14)
by Dennis Kristensen & Antonio Mele - Closed-form approximations of moments and densities of continuous-time Markov models (RePEc:arx:papers:2308.09009)
by Dennis Kristensen & Young Jun Lee & Antonio Mele - Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations (RePEc:bdi:wptemi:td_396_01)
by Fabio Fornari & Antonio Mele - A Simple Approach to the Estimation of Continuous Time CEV Stochastic Volatility Models of the Short-Term Rate (RePEc:bdi:wptemi:td_397_01)
by Fabio Fornari & Antonio Mele - Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums (RePEc:chf:rpseri:rp1218)
by Valentina Corradi & Walter Distaso & Antonio Mele - Dynamics of Interest Rate Swap and Equity Volatilities (RePEc:chf:rpseri:rp1323)
by Antonio Mele & Yoshiki Obayashi & Catherine Shalen - Credit Variance Swaps and Volatility Indexes (RePEc:chf:rpseri:rp1324)
by Antonio Mele & Yoshiki Obayashi - Volatility Indexes and Contracts for Eurodollar and Related Deposits (RePEc:chf:rpseri:rp1325)
by Antonio Mele & Yoshiki Obayashi - Volatility Indexes and Contracts for Government Bonds and Time Deposits (RePEc:chf:rpseri:rp1326)
by Antonio Mele & Yoshiki Obayashi - The Price of Government Bond Volatility (RePEc:chf:rpseri:rp1327)
by Antonio Mele & Yoshiki Obayashi - Trading Disclosure Requirements and Market Quality Tradeoffs (RePEc:chf:rpseri:rp20118)
by Antonio Mele & Francesco Sangiorgi - Cross-Section Without Factors: Correlation Risk, Strings and Asset Prices (RePEc:chf:rpseri:rp20119)
by Walter Distaso & Antonio Mele & Grigory Vilkov - Credit Volatility Indexes (RePEc:chf:rpseri:rp2088)
by Antonio Mele & Yoshiki Obayashi - A Theory of Debt Accumulation and Deficit Cycles (RePEc:chf:rpseri:rp2138)
by Antonio Mele - Correlation Risk, Strings and Asset Prices (RePEc:cpr:ceprdp:13873)
by Mele, Antonio & Distaso, Walter & Vilkov, Grigory - The Term Structure of Government Debt Uncertainty (RePEc:cpr:ceprdp:13874)
by Mele, Antonio & Obayashi, Yoshiki & Yang, Shihao - Insider Trading Regulation and Market Quality Tradeoffs (RePEc:cpr:ceprdp:16179)
by Mele, Antonio & Sangiorgi, Francesco - A Theory of Debt Accumulation and Deficit Cycles (RePEc:cpr:ceprdp:16329)
by Mele, Antonio - General Properties of Rational Stock-Market Fluctuations (RePEc:ecm:nasm04:223)
by Antonio Mele - Approximating volatility diffusions with CEV-ARCH models (RePEc:eee:dyncon:v:30:y:2006:i:6:p:931-966)
by Fornari, Fabio & Mele, Antonio - A stochastic variance model for absolute returns (RePEc:eee:ecolet:v:46:y:1994:i:3:p:211-214)
by Fornari, Fabio & Mele, Antonio - Modeling the changing asymmetry of conditional variances (RePEc:eee:ecolet:v:50:y:1996:i:2:p:197-203)
by Fornari, Fabio & Mele, Antonio - Recovering the probability density function of asset prices using garch as diffusion approximations (RePEc:eee:empfin:v:8:y:2001:i:1:p:83-110)
by Fornari, Fabio & Mele, Antonio - Rate fears gauges and the dynamics of fixed income and equity volatilities (RePEc:eee:jbfina:v:52:y:2015:i:c:p:256-265)
by Mele, Antonio & Obayashi, Yoshiki & Shalen, Catherine - Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (RePEc:eee:jfinec:v:102:y:2011:i:2:p:390-415)
by Kristensen, Dennis & Mele, Antonio - Asymmetric stock market volatility and the cyclical behavior of expected returns (RePEc:eee:jfinec:v:86:y:2007:i:2:p:446-478)
by Mele, Antonio - Macroeconomic determinants of stock volatility and volatility premiums (RePEc:eee:moneco:v:60:y:2013:i:2:p:203-220)
by Corradi, Valentina & Distaso, Walter & Mele, Antonio - Ambiguity, information acquisition and price swings in asset markets (RePEc:ehl:lserod:24424)
by Mele, Antonio & Sangiorgi, Francesco - Macroeconomic determinants of stock market returns, volatility and volatility risk-premia (RePEc:ehl:lserod:24436)
by Corradi, Valentina & Distaso, Walter & Mele, Antonio - Information linkages and correlated trading (RePEc:ehl:lserod:24439)
by Colla, Paolo & Mele, Antonio - Simulated nonparametric estimation of dynamic models with applications to finance (RePEc:ehl:lserod:24658)
by Altissimo, Filippo & Mele, Antonio - Simulated nonparametric estimation of continuous time models of asset prices and returns (RePEc:ehl:lserod:24674)
by Altissimo, Filippo & Mele, Antonio - General properties of rational stock-market fluctuations (RePEc:ehl:lserod:24701)
by Mele, Antonio - Financial volatility and economic activity (RePEc:ehl:lserod:29309)
by Fornari, Fabio & Mele, Antonio - Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations (RePEc:ema:worpap:2000-12)
by F. Fornari & A. Mele - An Equilibrium Model of the Term Structure with Stochastic Volatility (RePEc:ema:worpap:2000-13)
by F. Fornari & A. Mele - Fundamental Properties of Bond Prices in Models of the Short-Term Rate (RePEc:ema:worpap:2000-39)
by A. Mele - ARCH Models and Option Pricing : The Continuous Time Connection (RePEc:ema:worpap:98-30)
by F. Fornari & A. Mele - Simulated Nonparametric Estimation of Continuous Time Models of Asset Prices and Returns (RePEc:fmg:fmgdps:dp476)
by Antonio Mele & Filippo Altissimo - General Properties of Rational Stock-Market Fluctuations (RePEc:fmg:fmgdps:dp489)
by Antonio Mele - Macroeconomic Determinants of Stock Market Returns, Volatility and Volatility Risk-Premia (RePEc:fmg:fmgdps:dp616)
by Valentina Corradi & Antonio Mele & Walter Distaso - Information Linkages and Correlated Trading (RePEc:fmg:fmgdps:dp620)
by Antonio Mele - Ambiguity, Information Acquisition and Price Swings in Asset Markets (RePEc:fmg:fmgdps:dp633)
by Antonio Mele & Francesco Sangiorgi - Financial Volatility and Economic Activity (RePEc:fmg:fmgdps:dp642)
by Antonio Mele - Sign- and Volatility -Switching ARCH Models: Theory and Applications to International Stock Markets (RePEc:fth:banita:251)
by Fornari, F. & Mele, A. - ARCH Models and Option Pricing: The Continuous Time Connection (RePEc:fth:pnegmi:9830)
by Fornari, F. & Mele, A. - General Properties of Rational Stock-Market Fluctuations (RePEc:ihs:ihsesp:153)
by Mele, Antonio - Sign- and Volatility-Switching ARCH Models: Theory and Applications to International Stock Markets (RePEc:jae:japmet:v:12:y:1997:i:1:p:49-65)
by Fornari, Fabio & Mele, Antonio - Financial Volatility and Economic Activity (RePEc:mul:jdp901:doi:10.12831/75569:y:2013:i:2:p:155-198)
by Fabio Fornari & Antonio Mele - Simulated Non-Parametric Estimation of Dynamic Models (RePEc:oup:restud:v:76:y:2009:i:2:p:413-450)
by Filippo Altissimo & Antonio Mele - Uncertainty, Information Acquisition, and Price Swings in Asset Markets (RePEc:oup:restud:v:82:y:2015:i:4:p:1533-1567.)
by Antonio Mele & Francesco Sangiorgi - Fundamental Properties of Bond Prices in Models of the Short-Term Rate (RePEc:oup:rfinst:v:16:y:2003:i:3:p:679-716)
by Antonio Mele - Information Linkages and Correlated Trading (RePEc:oup:rfinst:v:23:y:2010:i:1:p:203-246)
by Paolo Colla & Antonio Mele - Fundamental Properties of Bond Prices in Models of the Short-Term Rate (RePEc:qmw:qmwecw:460)
by Antonio Mele - Unknown item RePEc:qmw:qmwecw:wp460 (paper)
- ARCH Models and Option Pricing: the Continuous-Time Connection (RePEc:sce:scecf9:113)
by Antonio Mele & Fabio Fornari - Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis (RePEc:sce:scecf9:912)
by Antonio Mele & Fabio Fornari - Unknown item RePEc:taf:apfiec:v:11:y:2001:i:2:p:179-186 (article)
- Unknown item RePEc:taf:apfiec:v:7:y:1997:i:2:p:203-206 (article)
- Weak convergence and distributional assumptions for a general class of nonliner arch models (RePEc:taf:emetrv:v:16:y:1997:i:2:p:205-227)
by Fabio Fornari & Antonio Mele