15 citations · 39 across the 12 of their papers we have counts for
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q-fin.MF2020★ 10 cited
Synthetic forwards and cost of funding in the equity derivative market
Michele Azzone, Roberto Baviera
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual…
stat.ME2020★ 3 cited
Neural Network Middle-Term Probabilistic Forecasting of Daily Power Consumption
Michele Azzone, Roberto Baviera
Middle-term horizon (months to a year) power consumption prediction is a main challenge in the energy sector, in particular when probabilistic forecasting is considered. We propose…