38 citations · 106 across the 20 of their papers we have counts for
22 papers
Is (independent) subordination relevant in option pricing?
Michele Azzone, Roberto Baviera
Monroe (1978) demonstrates that any local semimartingale can be represented as a time-changed Brownian Motion (BM). A natural question arises: does this representation theorem hold…
RNN(p) for Power Consumption Forecasting
Roberto Baviera, Pietro Manzoni
An elementary Recurrent Neural Network that operates on p time lags, called an RNN(p), is the natural generalisation of a linear autoregressive model ARX(p). It is a powerful forec…
A fast Monte Carlo scheme for additive processes and option pricing
Michele Azzone, Roberto Baviera
In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motion…
Short-time implied volatility of additive normal tempered stable processes
Michele Azzone, Roberto Baviera
Empirical studies have emphasized that the equity implied volatility is characterized by a negative skew inversely proportional to the square root of the time-to-maturity. We exami…
Synthetic forwards and cost of funding in the equity derivative market
Michele Azzone, Roberto Baviera
This study introduces a new technique to recover the implicit discount factor in the derivative market using only European put and call prices: this discount is grounded in actual…
The measure of model risk in credit capital requirements
Roberto Baviera
Credit capital requirements in Internal Rating Based approaches require the calibration of two key parameters: the probability of default and the loss-given-default. This letter co…