6 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
3 papers
Deep calibration with random grids
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. (2021) with the pointwise two-…
Towards Productizing AI/ML Models: An Industry Perspective from Data Scientists
Filippo Lanubile, Fabio Calefato, Luigi Quaranta +3
The transition from AI/ML models to production-ready AI-based systems is a challenge for both data scientists and software engineers. In this paper, we report the results of a work…
Portfolio Selection with Probabilistic Utility, Bayesian Statistics and Markov Chain Monte Carlo
P. Rossi, M. Tavoni, F. Cocco +1
We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no long…