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q-fin.PR2025
Defaultable bond liquidity spread estimation: an option-based approach
Pietro Rossi, Paolo Spezzati, Riccardo Tedeschi
This paper extends an option-theoretic approach to estimate liquidity spreads for corporate bonds. Inspired by Longstaff's equity market framework and subsequent work by Koziol and…
q-fin.PR2023
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-…
q-fin.PR2020
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…