65 citations · 231 across the 26 of their papers we have counts for
38 papers
Pricing commodity index options
Alberto Manzano, Emanuele Nastasi, Andrea Pallavicini +1
We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on…
Rough-Heston Local-Volatility Model
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. However, in order to fit exactly market vol…
Reinforcement learning for options on target volatility funds
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini +1
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…
Interpolating commodity futures prices with Kriging
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. Commodity markets quotes futu…
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…
Interpretability in deep learning for finance: a case study for the Heston model
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini +1
Deep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes and this hinders validation…