Pietro Rossi

Prometeia

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

110

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

The SINC way: A fast and accurate approach to Fourier pricing

Number of pages: 49 Posted: 20 Oct 2020 Last Revised: 19 May 2021
affiliation not provided to SSRN, University of Bologna - Department of Mathematics, University of Bologna - Department of Statistics and Prometeia
Downloads 71 (392,203)
Citation 1

Abstract:

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option pricing, rough Heston model, Fourier expansion, COS method, Fast Fourier methods

2.

Deep Learning Profit & Loss

Number of pages: 19 Posted: 10 Jul 2020 Last Revised: 27 Aug 2020
Pietro Rossi, Flavio Cocco and Giacomo Bormetti
Prometeia, Prometeia Calcolo and University of Bologna - Department of Mathematics
Downloads 39 (512,634)

Abstract:

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feed-forward neural networks, profit & loss distribution, non-linear portfolios