Andrea Pallavicini

Orcid: 0000-0002-4927-9597

According to our database1, Andrea Pallavicini authored at least 4 papers between 2019 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of five.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
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Links

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Bibliography

2024
A general framework for a joint calibration of VIX and VXX options.
Ann. Oper. Res., May, 2024

2021
Reinforcement learning for options on target volatility funds.
CoRR, 2021

Interpretability in deep learning for finance: a case study for the Heston model.
CoRR, 2021

2019
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement.
Eur. J. Oper. Res., 2019


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