Working Papers
Market Leverage and Financial Soundness, joint work with Raffaele Corvino and Berardino Palazzo
(available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4639065)
Real Time Risk Dynamics in the Financial Sector, joint work with Raffaele Corvino and Berardino Palazzo
(available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6409299)
Option-implied Asset Volatility Surfaces, joint work with Laura Ballotta
(available on SSRN: )
The Impact of High-frequency Ecological and Temperature Shocks on Honeybee Production, joint work with Leonardo Bambagioni, Gabriella Buffa, Edy Fantinato, Ginevra Virginia Lombardi, Maria Elvira Mancino and Giacomo Toscano
(available on SSRN: )
Publications
Maglione F., Introducing and Testing the Carr Model of Default, Quantitative Finance, 2025, 5, 269-290
Dal Maso L., Gianfagna L., Maglione F. and Lattanzi N., Going green: Environmental risk management, market value and performance, Corp Soc Responsib Environ Manag, 2024, 31 (1), 122 - 132
Maglione F. and Mancino M. E., Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options, Risks, 2023, 11 (10), 183
Carr P. and Maglione F., Compound Option Pricing and the Roll-Geske-Whaley Formula under the Conjugate-Power Dagum Distribution, Journal of Derivatives, 2022, 30 (2), 94 - 125
Maglione F., Credit Spreads, Leverage and Volatility: A Cointegration Approach, Computation, 2022, 10(9), 155
Maglione F., On the Scaling Function of Multifractal Processes, Mathematical Methods in Economics and Finance, Vol. 9/10, No. 1, 2014/2015
Conference highlights
Click below for my talk on “Elementary Compound Derivative Pricing”