Overview
Antonio Roma is an economist at the Università di Siena, Facoltà di Scienze Economiche e Bancarie, Italy. His research addresses stochastic volatility models and derivative pricing.
Key Contributions / Features
- Ball and Roma (1994): Co-derived the MGF-of-average-variance unification of H-W and S-S approaches; applied CIR bond pricing machinery to the Heston square-root SV model; corrected errors in Stein-Stein (1991) regarding the |σ| vs. reflected OU distinction and the appropriate Black-Scholes benchmark.
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