Pallavicini, Andrea
- Rough volatility: evidence from option prices
2017/02/09 by Livieri, Giulia, Mouti, Saad, Pallavicini, Andrea +1 · 6 citations
#FOS: Economics and business #Mathematical Finance (q-fin.MF) #Statistical Finance (q-fin.ST)
- Interpretability in deep learning for finance: a case study for the\n Heston model
2021/04/19 by Damiano Brigo, Xiaoshan Huang, Brigo, Damiano +5 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · #68T07 #91G20 #91G60 #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Machine Learning (cs.LG) #Market Dynamics and Volatility #Pricing of Securities (q-fin.PR) #Stock Market Forecasting Methods
- Funding Valuation Adjustment: a consistent framework including CVA, DVA,\n collateral,netting rules and re-hypothecation
2011/12/07 by Andrea Pallavicini, Pallavicini, Andrea, Daniele Perini +3 · 1 citation
Economics, Econometrics and Finance · Business, Management and Accounting · #Credit Risk and Financial Regulations #Stochastic processes and financial applications #Financial Reporting and Valuation Research