Zobrazeno 1 - 10
of 105
pro vyhledávání: '"Baviera, Roberto"'
A growing number of contributions in the literature have identified a puzzle in the European carbon allowance (EUA) market. Specifically, a persistent cost-of-carry spread (C-spread) over the risk-free rate has been observed. We are the first to expl
Externí odkaz:
http://arxiv.org/abs/2405.12982
Autor:
Baviera, Roberto, Manzoni, Pietro
L\'evy-driven Ornstein-Uhlenbeck (OU) processes represent an intriguing class of stochastic processes that have garnered interest in the energy sector for their ability to capture typical features of market dynamics. However, in the current state of
Externí odkaz:
http://arxiv.org/abs/2401.15483
Autor:
Azzone, Michele, Baviera, Roberto
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 when the BM and the time-change are independent? We prove that a loca
Externí odkaz:
http://arxiv.org/abs/2307.08628
Autor:
Baviera, Roberto, Manzoni, Pietro
A Recurrent Neural Network that operates on several time lags, called an RNN(p), is the natural generalization of an Autoregressive ARX(p) model. It is a powerful forecasting tool when different time scales can influence a given phenomenon, as it hap
Externí odkaz:
http://arxiv.org/abs/2209.01378
Autor:
Azzone, Michele, Baviera, Roberto
Publikováno v:
A fast Monte Carlo scheme for additive processes and option pricing, 20, 31 (2023)
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 motions. We analyze in detail numerical error sources and propose a techniqu
Externí odkaz:
http://arxiv.org/abs/2112.08291
Autor:
Azzone, Michele, Baviera, Roberto
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 examine the short-time-to-maturity behavior of the implied volatility smile
Externí odkaz:
http://arxiv.org/abs/2108.02447
Autor:
Azzone, Michele, Baviera, Roberto
Publikováno v:
Finance Research Letters Volume 41, July 2021, 101841
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 transactions in active markets. Moreover, this study identifies the im
Externí odkaz:
http://arxiv.org/abs/2011.03795
Autor:
Baviera, Roberto
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 considers the uncertainty about these two parameters and models this unc
Externí odkaz:
http://arxiv.org/abs/2010.08028
Autor:
Azzone, Michele, Baviera, Roberto
Publikováno v:
Journal of Energy Markets, VOLUME 14, NUMBER 1 (MARCH 2021)
Middle-term horizon (months to a year) power consumption prediction is a main challenge in the energy sector, in particular when probabilistic forecasting is considered. We propose a new modelling approach that incorporates trend, seasonality and wea
Externí odkaz:
http://arxiv.org/abs/2006.16388
Autor:
Baviera, Roberto, Messuti, Giuseppe
Probabilistic forecasting of power consumption in a middle-term horizon (months to a year) is a main challenge in the energy sector. It plays a key role in planning future generation plants and transmission grid. We propose a new model that incorpora
Externí odkaz:
http://arxiv.org/abs/2005.13005