no code implementations • 28 Nov 2023 • Matteo Gambara, Giulia Livieri, Andrea Pallavicini
In the present work, we introduce and compare state-of-the-art algorithms, that are now classified under the name of machine learning, to price Asian and look-back products with early-termination features.
no code implementations • 2 Aug 2022 • Alberto Manzano, Emanuele Nastasi, Andrea Pallavicini, Carlos Vázquez
We present a stochastic local volatility model for derivative contracts on commodity futures.
no code implementations • 18 Jun 2022 • Enrico Dall'Acqua, Riccardo Longoni, Andrea Pallavicini
In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes.
no code implementations • 3 Dec 2021 • Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Stefano Polo
In this work we deal with the funding costs rising from hedging the risky securities underlying a target volatility strategy (TVS), a portfolio of risky assets and a risk-free one dynamically rebalanced in order to keep the realized volatility of the portfolio on a certain level.
no code implementations • 25 Oct 2021 • Andrea Maran, Andrea Pallavicini
The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices.
no code implementations • 23 Jun 2021 • Andrea Maran, Andrea Pallavicini, Stefano Scoleri
The computation of Greeks is a fundamental task for risk managing of financial instruments.
no code implementations • 19 Apr 2021 • Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Saez de Ocariz Borde
Deep learning is a powerful tool whose applications in quantitative finance are growing every day.
no code implementations • 15 Dec 2020 • Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure.
no code implementations • 24 Jan 2020 • Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts.
no code implementations • 6 Jun 2019 • Stefania Gabrielli, Andrea Pallavicini, Stefano Scoleri
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing.
no code implementations • 29 Aug 2018 • Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes.
no code implementations • 31 Oct 2017 • Giorgia Callegaro, Lucio Fiorin, Andrea Pallavicini
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation.