3 papers
q-fin.PR2021
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…
q-fin.CP2021
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…
math.PR2018
Stochastic Dynamic Utilities and Inter-Temporal Preferences
Marco Maggis, Andrea Maran
We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information avai…