2 papers
q-fin.MF2026
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…
q-fin.MF2025
Local signature-based expansions
Federico M. Bandi, Roberto Renò, Sara Svaluto-Ferro
We study the local (in time) expansion of a continuous-time process and its conditional moments, including the process' characteristic function. The expansions are conducted by usi…