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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…
q-fin.RM2020
Deep learning Profit & Loss
Pietro Rossi, Flavio Cocco, Giacomo Bormetti
Building the future profit and loss (P&L) distribution of a portfolio holding, among other assets, highly non-linear and path-dependent derivatives is a challenging task. We provid…