Roberto Daluiso

Roberto Daluiso got his master’s degree in Mathematics at the Scuola Normale Superiore of Pisa in 2012. Since then, he has worked as a front office quant in the Interest Rates and Credit Models group of Banca IMI, focusing on pricing valuation adjustments. He completed his PhD studies in Statistics and Mathematics for Finance at the University of Milano-Bicocca in 2019 with honors. An expert of algorithmic differentiation techniques and their applications to finance, his research contributions range from computational aspects to hedging strategies.

Articles by Roberto Daluiso

Original research

Second-order Monte Carlo sensitivities

This paper considers the problem of efficiently computing the full matrix of second-order sensitivities of a Monte Carlo price when the number of inputs is large.

03 Feb 2020