18 citations · 38 across the 4 of their papers we have counts for
4 papers
Accounting for risk of non linear portfolios: a novel Fourier approach
Giacomo Bormetti, Valentina Cazzola, Danilo Delpini +1
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distri…
A Generalized Fourier Transform Approach to Risk Measures
G. Bormetti, V. Cazzola, G. Livan +2
We introduce the formalism of generalized Fourier transforms in the context of risk management. We develop a general framework to efficiently compute the most popular risk measures…
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…
Probability distribution of returns in the exponential Ornstein-Uhlenbeck model
Giacomo Bormetti, Valentina Cazzola, Guido Montagna +1
We analyze the problem of the analytical characterization of the probability distribution of financial returns in the exponential Ornstein-Uhlenbeck model with stochastic volatilit…