Andrea Pallavicini
Andrea Pallavicini is the head of equity, FX and commodity models at Banca IMI in Milan.
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Articles by Andrea Pallavicini
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