18 citations · 18 across the 3 of their papers we have counts for
3 papers
An Integral Equation Approach for the Valuation of Finite-maturity margin-call Stock Loans
Minh-Quan Nguyen, Nhat-Tan Le, Khuong Nguyen-An +1
This paper examines the pricing issue of margin-call stock loans with finite maturities under the Black-Scholes-Merton framework. In particular, using a Fourier Sine transform meth…
The multilayer architecture of the global input-output network and its properties
Rosanna Grassi, Paolo Bartesaghi, Gian Paolo Clemente +1
We analyze the multilayer architecture of the global input-output network using sectoral trade data (WIOD, 2016 release). With a focus on the mesoscale structure and related proper…
Collateral Unchained: Rehypothecation networks, concentration and systemic effects
Duc Thi Luu, Mauro Napoletano, Paolo Barucca +1
We study how network structure affects the dynamics of collateral in presence of rehypothecation. We build a simple model wherein banks interact via chains of repo contracts and us…