3 papers
q-fin.PR2026
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…
quant-ph2025
Quantum Machine Learning methods for Fourier-based distribution estimation with application in option pricing
Fernando Alonso, Ãlvaro Leitao, Carlos Vázquez
The ongoing progress in quantum technologies has fueled a sustained exploration of their potential applications across various domains. One particularly promising field is quantita…
math.AP2024
Mathematical models and numerical methods for a capital valuation adjustment (KVA) problem
D. Trevisani, J. G. López-Salas, C. Vázquez +1
In this work we rigorously establish mathematical models to obtain the capital valuation adjustment (KVA) as part of the total valuation adjustments (XVAs). For this purpose, we us…