Research

2024

• 2024-02

  Device, system and method for managing cryptocurrency transactionsPATENT

  Ametrano, Ferdinando M. and Mazzocchi, Paolo

  US Patent Applications 18/266,388 (US20240046260A1) and 18/266,408 (US20240062205A1)

  Two applications, published 2024-02-08 and 2024-02-22

  US20240046260A1US20240062205A1

2023

• 2023-11

  Hayek, l’oro digitale Bitcoin e l’euro digitale di BCECHAPTER

  Ametrano, Ferdinando M.

  Digital Italy 2023: Costruire la Nazione digitale (ed. Arianna Perri), Maggioli Editore, chapter 21. ISBN 9788891667601

  MaggioliPDF (© Maggioli S.p.A.)

2022

• 2022-02

  Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov modelJOURNAL

  Pennoni, Fulvia and Bartolucci, Francesco and Forte, Gianfranco and Ametrano, Ferdinando

  Economic Notes 51(1), e12193

  Earlier version presented at the 2nd Crypto Asset Lab Conference, 2020

  DOICAL 2020 version27 citations

2020

• 2020-02

  Bitcoin: oro digitale per nuovi standard monetariCHAPTER

  Ametrano, Ferdinando M.

  Dal sesterzio al bitcoin: Vecchie e nuove dimensioni del denaro (eds. Angelo Miglietta and Alberto Mingardi), Rubbettino Editore. ISBN 9788849856804

  Book

2016

• 2016-12

  Advanced EONIA Curve CalibrationWORKING PAPER

  Ametrano, Ferdinando M. and Bertocchi, Nicholas and Mazzocchi, Paolo

  SSRN working paper 2881445

  SSRN

• 2016-09

  Response to ESMA/2016/773: The Distributed Ledger Technology Applied to Securities MarketsREPORT

  Ametrano, Ferdinando M. and Barucci, Emilio and Marazzina, Daniele and Zanero, Stefano

  Response to ESMA consultation; SSRN 3265776

  SSRN4 citations

• 2016-08

  Bitcoin, Blockchain, and Distributed Ledgers: Between Hype and RealityWORKING PAPER

  Ametrano, Ferdinando M.

  SSRN working paper 2832249

  SSRN11 citations

2015

• 2015-11

  The ABCD of Interest Rate Basis SpreadsWORKING PAPER

  Ametrano, Ferdinando M. and Ballabio, Luigi and Mazzocchi, Paolo

  SSRN working paper 2696743

  SSRN

• 2015

  QuantLib: A free/open-source library for quantitative financeSOFTWARE

  Ametrano, Ferdinando and Ballabio, Luigi and Bianchetti, Marco and others

  Software, quantlib.org

  QuantLib25 citations

2014

• 2014-10

  The Cryptocurrency Frontier in Monetary EngineeringWORKING PAPER

  Ametrano, Ferdinando M.

  SSRN working paper 2508296

  First posted 2014-10 as “The Cryptocurrency Frontier in Commodity Monetary Standard”; revised 2020-10

  SSRN

• 2014-05

  Hayek Money: The Cryptocurrency Price Stability SolutionWORKING PAPER

  Ametrano, Ferdinando M.

  SSRN working paper 2425270

  Posted 2014-04-17, revised 2016-08-23

  SSRN155 citations

2013

• 2013-02

  Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to AskWORKING PAPER

  Ametrano, Ferdinando M. and Bianchetti, Marco

  SSRN working paper 2219548

  SSRN114 citations

• 2013

  Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Discount and FRA Rates EstimationCHAPTER

  Ametrano, Ferdinando M. and Bianchetti, Marco

  Interest Rate Modelling after the Financial Crisis, Risk Books, pp. 153-215

  Record1 citation

2011

• 2011-04

  Smooth Simultaneous Calibration of the LMM to Caplets and Co-terminal SwaptionsJOURNAL

  Ametrano, Ferdinando M. and Joshi, Mark S.

  Quantitative Finance 11(4), 547-558

  DOISSRN7 citations

2009

• 2009-04

  Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates EstimationCHAPTER

  Ametrano, Ferdinando M. and Bianchetti, Marco

  Modeling Interest Rates (ed. Fabio Mercurio), Risk Books, chapter 1. ISBN 9781906348137

  SSRN129 citations

Physics (1995-1996)

• 1996-06

  Stability of a Nb3Sn low-beta quadrupole in the LHC radiation environmentPROCEEDINGS

  Ambrosio, G. and Ametrano, F. M. and Broggi, F. and Ferrari, A. and Rossi, L.

  Proceedings of EPAC 1996, pp. 2293-2295

  PDF3 citations

• 1995

  Preliminary proposal of a Nb3Sn quadrupole model for the low-beta insertions of the LHCREPORT

  Ambrosio, G. and Ametrano, F. and Bellomo, G. and Broggi, F. and Rossi, L. and Volpini, G.

  INFN report INFN-TC-95-25

  INIS7 citations