Search Results for author:
Found 12 papers, 0 papers with code
Machine learning methods for American-style path-dependent contracts
In the present work, we introduce and compare state-of-the-art algorithms, that are now classified under the name of machine learning, to price Asian and look-back products with early-termination features.
Pricing commodity index options
We present a stochastic local volatility model for derivative contracts on commodity futures.
Rough-Heston Local-Volatility Model
In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes.
Reinforcement learning for options on target volatility funds
In this work we deal with the funding costs rising from hedging the risky securities underlying a target volatility strategy (TVS), a portfolio of risky assets and a risk-free one dynamically rebalanced in order to keep the realized volatility of the portfolio on a certain level.
Interpolating commodity futures prices with Kriging
The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices.
Chebyshev Greeks: Smoothing Gamma without Bias
The computation of Greeks is a fundamental task for risk managing of financial instruments.
Interpretability in deep learning for finance: a case study for the Heston model
Deep learning is a powerful tool whose applications in quantitative finance are growing every day.
A general framework for a joint calibration of VIX and VXX options
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure.
Pricing commodity swing options
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts.
Funding Adjustments in Equity Linear Products
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing.
Smile Modelling in Commodity Markets
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes.
Quantization goes Polynomial
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation.
