3 papers
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…
quant-ph2025
Quantum Machine Learning methods for Fourier-based distribution estimation with application in option pricing
Fernando Alonso, Álvaro Leitao, Carlos Vázquez
The ongoing progress in quantum technologies has fueled a sustained exploration of their potential applications across various domains. One particularly promising field is quantita…
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…