3 citations · 5 across the 19 of their papers we have counts for
Showing 2018Show all
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q-fin.TR2018★ 3 cited
Static vs Adaptive Strategies for Optimal Execution with Signals
Claudio Bellani, Damiano Brigo, Alex Done +1
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive sign…
q-fin.MF2018
Option pricing models without probability: a rough paths approach
John Armstrong, Claudio Bellani, Damiano Brigo +1
We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price traje…