6 papers
Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices
Alberto Manzano, Emanuele Nastasi, Andrea Pallavicini +1
In this article, we analyze two modeling approaches for the pricing of derivative contracts on a commodity index. The first one is a microscopic approach, where the components of t…
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…
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…
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…
A closed formula for illiquid corporate bonds and an application to the European market
Roberto Baviera, Aldo Nassigh, Emanuele Nastasi
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying share…
Smile Modelling in Commodity Markets
Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid mar…