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.

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2024

A general framework for a joint calibration of VIX and VXX options.

[BibT_eX]

[DOI]

Martino Grasselli

Andrea Mazzoran

Andrea Pallavicini

Ann. Oper. Res., May, 2024

2021

Reinforcement learning for options on target volatility funds.

[BibT_eX]

[DOI]

CoRR, 2021

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

[BibT_eX]

[DOI]

Damiano Brigo

Xiaoshan Huang

Andrea Pallavicini

Haitz Sáez de Ocáriz Borde

CoRR, 2021

2019

Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement.

[BibT_eX]

[DOI]

Damiano Brigo

Marco Francischello

Andrea Pallavicini

Eur. J. Oper. Res., 2019

Andrea Pallavicini

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