4 papers
Rough volatility dynamics in commodity markets
Roberto Daluiso, Héctor Folgar-Cameán, Andrea Pallavicini +1
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropr…
Optimal strategy and deep hedging for share repurchase programs
Stefano Corti, Roberto Daluiso, Andrea Pallavicini
In recent decades, companies have frequently adopted share repurchase programs to return capital to shareholders or for other strategic purposes, instructing investment banks to ra…
Machine-learning regression methods for American-style path-dependent contracts
Matteo Gambara, Giulia Livieri, Andrea Pallavicini
Evaluating financial products with early-termination clauses, in particular those with path-dependent structures, is challenging. This paper focuses on Asian options, look-back opt…
Pricing Quanto and Composite Contracts with Local-Correlation Models
Andrea Pallavicini
Pricing composite and quanto contracts requires a joint model of both the underlying asset and the exchange rate. In this contribution, we explore the potential of local-correlatio…