Andrea Pallavicini

Publication Activity (10 Years)

Years Active: 2019-2024
Publications (10 Years): 4

Top Topics

Complementarity Problems

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

Publications

Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini
A general framework for a joint calibration of VIX and VXX options. Ann. Oper. Res. 336 (1-2) (2024)
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Stefano Polo
Reinforcement learning for options on target volatility funds. CoRR (2021)
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Saez de Ocariz Borde
Interpretability in deep learning for finance: a case study for the Heston model. CoRR (2021)
Damiano Brigo, Marco Francischello, Andrea Pallavicini
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. Eur. J. Oper. Res. 274 (2) (2019)