| OPTION PRICING: The vanna-volga method for implied volatilities A Castagna, F Mercurio Risk 20 (1), 106, 2007 | 111 | 2007 |
| Measuring and managing liquidity risk A Castagna, F Fede John Wiley & Sons, 2013 | 76 | 2013 |
| FX options and smile risk A Castagna John Wiley & Sons, 2010 | 63 | 2010 |
| Funding, liquidity, credit and counterparty risk: Links and implications A Castagna Available at SSRN 1855028, 2011 | 44 | 2011 |
| Consistent pricing of FX options A Castagna, F Mercurio Available at SSRN 873788, 2006 | 34 | 2006 |
| Pricing of derivatives contracts under collateral agreements: Liquidity and funding value adjustments A Castagna Available at SSRN 1974479, 2013 | 25 | 2013 |
| Pricing bonds and bond options with default risk E Barone, G Barone‐Adesi, A Castagna European Financial Management 4 (2), 231-282, 1998 | 24 | 1998 |
| Consistent pricing and hedging of an FX options book L Bisesti, A Castagna, F Mercurio The Kyoto Economic Review 74 (1), 65-83, 2005 | 18 | 2005 |
| Yes, FVA is a Cost for Derivatives Desks-A Note on'Is FVA a Cost for Derivatives Desks?'by Prof. Hull and Prof. White A Castagna Hull and Prof. White (August 30, 2012), 2012 | 14 | 2012 |
| Pricing of derivatives contracts under collateral agreements: Liquidity and funding value adjustments. Iason research paper A Castagna | 14 | 2012 |
| The information content of TIPS E Barone, A Castagna Available at SSRN 2170675, 1998 | 14 | 1998 |
| Towards a theory of internal valuation and transfer pricing of products in a bank: Funding, credit risk and economic capital A Castagna Credit Risk and Economic Capital (June 13, 2013), 2013 | 13 | 2013 |
| The impossibility of DVA replication A Castagna Risk 25 (11), 66, 2012 | 13 | 2012 |
| Yes, FVA is a cost for derivatives desks A Castagna A Note on Is FVA a Cost for Derivatives Desks, 2012 | 12 | 2012 |
| Underwriting Fees and Power Derivatives E Barone, A Castagna Available at SSRN 512545, 1998 | 12 | 1998 |
| Sight deposit and non-maturing liability modelling A Castagna, F Manenti Argo 1, 7-18, 2013 | 11 | 2013 |
| Pricing of collateralized derivatives contracts when more than one currency are involved: Liquidity and funding value adjustments A Castagna Available at SSRN 2073300, 2012 | 9 | 2012 |
| Funding valuation adjustment (fva) and theory of the firm: A theoretical justification of the inclusion of funding costs in the evaluation of financial contracts A Castagna Available at SSRN 2278595, 2013 | 8 | 2013 |
| Funding, liquidity, credit and counterparty risk: Links and implications. Iason research paper A Castagna | 8 | 2011 |
| A Benchmark Framework for Non Maturing Deposits: An Application to Public Data Available from Banca D'Italia A Castagna, A Scaravaggi SSRN, 2018 | 7 | 2018 |