5 papers
Rough volatility dynamics in commodity markets
Roberto Daluiso, Héctor Folgar-Cameán, Andrea Pallavicini +1
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropr…
Optimal strategy and deep hedging for share repurchase programs
Stefano Corti, Roberto Daluiso, Andrea Pallavicini
In recent decades, companies have frequently adopted share repurchase programs to return capital to shareholders or for other strategic purposes, instructing investment banks to ra…
Pricing Quanto and Composite Contracts with Local-Correlation Models
Andrea Pallavicini
Pricing composite and quanto contracts requires a joint model of both the underlying asset and the exchange rate. In this contribution, we explore the potential of local-correlatio…
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…
Machine-learning regression methods for American-style path-dependent contracts
Matteo Gambara, Giulia Livieri, Andrea Pallavicini
Evaluating financial products with early-termination clauses, in particular those with path-dependent structures, is challenging. This paper focuses on Asian options, look-back opt…