28 citations · 95 across the 25 of their papers we have counts for
3 papers · 1 filter
Joint deep calibration of the 4-factor PDV model
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
Joint calibration to SPX and VIX market data is a delicate task that requires sophisticated modeling and incurs significant computational costs. The latter is especially true when…
A backward Monte Carlo approach to exotic option pricing
Giacomo Bormetti, Giorgia Callegaro, Giulia Livieri +1
We propose a novel algorithm which allows to sample paths from an underlying price process in a local volatility model and to achieve a substantial variance reduction when pricing…
Multiplicative noise, fast convolution, and pricing
Giacomo Bormetti, Sofia Cazzaniga
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorit…