4 papers
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach
Roberto Baviera, Giulia Bianchi
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research pr…
A closed formula for illiquid corporate bonds and an application to the European market
Roberto Baviera, Aldo Nassigh, Emanuele Nastasi
We propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying share…
Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model
Roberto Baviera
We propose an elementary model to price European physical delivery swaptions in multicurve setting with a simple exact closed formula. The proposed model is very parsimonious: it i…
Stop-loss and Leverage in optimal Statistical Arbitrage with an application to Energy market
Roberto Baviera, Tommaso Santagostino Baldi
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-r…