28 citations · 95 across the 25 of their papers we have counts for
6 papers · 1 filter
Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data
Simone Serafini, Giacomo Bormetti
Leveraging a unique dataset of carbon futures option prices traded on the ICE market from December 2015 until December 2020, we present the results from an unprecedented calibratio…
Deep calibration with random grids
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. (2021) with the pointwise two-…
The SINC way: A fast and accurate approach to Fourier pricing
Fabio Baschetti, Giacomo Bormetti, Silvia Romagnoli +1
The goal of this paper is to investigate the method outlined by one of us (PR) in Cherubini et al. (2009) to compute option prices. We name it the SINC approach. While the COS meth…
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
Giacomo Bormetti, Damiano Brigo, Marco Francischello +1
We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework…
Smile from the Past: A general option pricing framework with multiple volatility and leverage components
Adam Aleksander Majewski, Giacomo Bormetti, Fulvio Corsi
In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose…
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Giacomo Bormetti, Valentina Cazzola, Danilo Delpini
We consider the problem of option pricing under stochastic volatility models, focusing on the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck and…