2 papers
q-fin.CP2021
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…
q-fin.MF2019
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…