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q-fin.PR2026
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…
q-fin.PR2026
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…