38 citations · 106 across the 20 of their papers we have counts for
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q-fin.PR2017
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…
q-fin.PM2017
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…