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q-fin.PR2026
Rough volatility dynamics in commodity markets
Roberto Daluiso, Héctor Folgar-Cameán, Andrea Pallavicini +1
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropr…
q-fin.PR2021
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…
q-fin.PR2020
Pricing commodity swing options
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini +1
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic con…