3 papers
q-fin.CP2024
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…
q-fin.PR2022
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…
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…