6 citations · 6 across the 1 of their papers we have counts for
2 papers
q-fin.GN2023
A hidden Markov model for statistical arbitrage in international crude oil futures markets
Viviana Fanelli, Claudio Fontana, Francesco Rotondi
In this work, we study statistical arbitrage strategies in international crude oil futures markets. We analyse strategies that extend classical pairs trading strategies, considerin…
q-fin.PR2022★ 6 cited
Valuation of general GMWB annuities in a low interest rate environment
Claudio Fontana, Francesco Rotondi
Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of…