2 papers
q-fin.CP2022
Estimation of Historical volatility and Allocation strategies using Variance Swaps
Lucio Fiorin
In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance Swaps
q-fin.PR2017
Quantization goes Polynomial
Giorgia Callegaro, Lucio Fiorin, Andrea Pallavicini
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation. In particular, very recently…