222 citations
- Advanced Research Projects Agency - EnergyUS1 paper
- Hebrew University of JerusalemIL1 paper
- Imperial College LondonGB1 paper
- Korea Advanced Institute of Science and TechnologyKR1 paper
- London School of Economics and Political ScienceGB1 paper
- Queens College, CUNYUS1 paper
- Sapienza University of RomeIT1 paper
- University of BolognaIT1 paper
- University of ManchesterGB1 paper
- University of Milano-BicoccaIT1 paper
- University of SalernoIT1 paper
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q-fin.PR2023
Machine-learning regression methods for American-style path-dependent contracts
Matteo Gambara, Giulia Livieri, Andrea Pallavicini
Evaluating financial products with early-termination clauses, in particular those with path-dependent structures, is challenging. This paper focuses on Asian options, look-back opt…
q-fin.PR2014★ 19 cited
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
Damiano Brigo, Qing Liu, Andrea Pallavicini +1
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach…