Articles by Andrea Pallavicini
The importance of modelling futures dynamics in commodity index derivatives
Index-based and underlying-based pricing methods for commodity derivatives are presented
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps