10 citations · 14 across the 4 of their papers we have counts for
6 papers
Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks
Stefano Scoleri, Marco Bianchetti, Sergei Kucherenko
Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing and hedging representative financial instruments of increasing complexity. We compa…
Effective dimensionality reduction for Greeks computation using Randomized QMC
Luca Albieri, Sergei Kucherenko, Stefano Scoleri +1
Global sensitivity analysis is employed to evaluate the effective dimension reduction achieved through Chebyshev interpolation and the conditional pathwise method for Greek estimat…
Chebyshev Greeks: Smoothing Gamma without Bias
Andrea Maran, Andrea Pallavicini, Stefano Scoleri
The computation of Greeks is a fundamental task for risk managing of financial instruments. The standard approach to their numerical evaluation is via finite differences. Most exot…
Funding Adjustments in Equity Linear Products
Stefania Gabrielli, Andrea Pallavicini, Stefano Scoleri
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies…
Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
Marco Bianchetti, Sergei Kucherenko, Stefano Scoleri
We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of incr…
The Leading Order Dressing Phase in ABJM Theory
Andrea Mauri, Alberto Santambrogio, Stefano Scoleri
We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) x SU(2) sector up to eight loops. Combining Bethe Ansatz techniques and N = 2 superspace methods, we…