3 citations · 8 across the 5 of their papers we have counts for
5 papers
Ultra-short-term volatility surfaces
Federico M. Bandi, Nicola Fusari, Guido Gazzani +1
Options with maturities below one week, hereafter "ultra-short-term" options, have seen a sharp increase in trading activity in recent years. Yet, these instruments are difficult t…
Pricing and calibration in the 4-factor path-dependent volatility model
Guido Gazzani, Julien Guyon
We consider the path-dependent volatility (PDV) model of Guyon and Lekeufack (2023), where the instantaneous volatility is a linear combination of a weighted sum of past returns an…
Joint calibration to SPX and VIX options with signature-based models
Christa Cuchiero, Guido Gazzani, Janka Möller +1
We consider a stochastic volatility model where the dynamics of the volatility are described by a linear function of the (time extended) signature of a primary process which is sup…
Signature-based models: theory and calibration
Christa Cuchiero, Guido Gazzani, Sara Svaluto-Ferro
We consider asset price models whose dynamics are described by linear functions of the (time extended) signature of a primary underlying process, which can range from a (market-inf…
Risk measures under model uncertainty: a Bayesian viewpoint
Christa Cuchiero, Guido Gazzani, Irene Klein
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their…