3 papers
q-fin.TR2025
Why is the estimation of metaorder impact with public market data so challenging?
Manuel Naviglio, Giacomo Bormetti, Francesco Campigli +2
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market da…
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
Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data
Simone Serafini, Giacomo Bormetti
Leveraging a unique dataset of carbon futures option prices traded on the ICE market from December 2015 until December 2020, we present the results from an unprecedented calibratio…