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of 19
pro vyhledávání: '"NASTASI, EMANUELE"'
In this article, we analyze two modeling approaches for the pricing of derivative contracts on a commodity index. The first one is a microscopic approach, where the components of the index are modeled individually, and the index price is derived from
Externí odkaz:
http://arxiv.org/abs/2408.00784
We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on futures contracts and on indices on futures strategies. Numerical exam
Externí odkaz:
http://arxiv.org/abs/2208.01289
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
Externí odkaz:
http://arxiv.org/abs/2112.01841
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. In thi
Externí odkaz:
http://arxiv.org/abs/2001.08906
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 shares in IPOs. This approach describes a quite common situation in the fix
Externí odkaz:
http://arxiv.org/abs/1901.06855
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. A parsimonious parametrization is introduced to deal with
Externí odkaz:
http://arxiv.org/abs/1808.09685
Publikováno v:
In Journal of International Financial Markets, Institutions & Money March 2021 71
Autor:
Manzano-Herrero, Alberto Pedro1 (AUTHOR), Nastasi, Emanuele2 (AUTHOR), Pallavicini, Andrea3 (AUTHOR), Vázquez, Carlos1 (AUTHOR) carlos.vazquez.cendon@udc.es
Publikováno v:
Quantitative Finance. Feb2023, Vol. 23 Issue 2, p297-308. 12p.
Autor:
Daluiso, Roberto1 (AUTHOR), Nastasi, Emanuele2 (AUTHOR), Pallavicini, Andrea1 (AUTHOR) andrea.pallavicini@intesasanpaolo.com, Sartorelli, Giulio1 (AUTHOR)
Publikováno v:
Applied Stochastic Models in Business & Industry. Mar2024, Vol. 40 Issue 2, p224-242. 19p.
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