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q-fin.CP2025
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…
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…