Pietro Rossi

Pietro Rossi is an adjunct professor of Computational Finance in the Department of Statistical Sciences ‘Paolo Fortunati’ at the University of Bologna and is also a senior advisor to Prometeia SpA.

Articles by Pietro Rossi

Cutting Edge

Neural networks unleashed: joint SPX/VIX calibration has never been faster

SPX and VIX options can be jointly calibrated in real time with deep neural networks

04 Feb 2026

Abstract image of a textured bar, with a twist in the middle, changing from an orange colour to a pink colour after the twist

Cutting Edge

Bridging credit transitions and spread dynamics

A fast-to-calibrate model to simulate a credit rating transition matrix is presented

30 Jan 2026

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