Francesco Statti

Ecole Polytechnique Fédérale de Lausanne

Station 5

Odyssea 1.04

1015 Lausanne, CH-1015

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

231

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Unspanned Stochastic Volatility in the Multi-Factor CIR Model

Mathematical Finance, Forthcoming, Swiss Finance Institute Research Paper No. 17-16
Number of pages: 15 Posted: 08 May 2017 Last Revised: 16 Jan 2019
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 158 (229,292)
Citation 1

Abstract:

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multi-factor Cox-Ingersoll-Ross model, unspanned stochastic volatility, incomplete bond markets

2.

Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing

Swiss Finance Institute Research Paper No. 19-54
Number of pages: 31 Posted: 18 Oct 2019 Last Revised: 23 Oct 2019
Ecole Polytechnique Fédérale de Lausanne, Queen Mary University of London, University of Oxford and Ecole Polytechnique Fédérale de Lausanne
Downloads 72 (392,934)

Abstract:

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Monte Carlo, Monte Carlo under budget constraints, variance reduction, multi-asset options, Kaczmarz algorithm, weighted sampling, large-scale least-squares problems

3.

Unspanned Stochastic Volatility in the Multifactor CIR Model

Mathematical Finance, Vol. 29, Issue 3, pp. 827-836, 2019
Number of pages: 10 Posted: 28 May 2020
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zürich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Downloads 1 (778,463)
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Abstract:

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incomplete bond markets, multifactor Cox–Ingersoll‐Ross model, unspanned stochastic volatility