arXiv subjects

Andrea Maran

Publications and source records attributed to Andrea Maran.

3 recordsLinked to original sources

arXiv2022

Interpolating commodity futures prices with Kriging

The shape of the futures term structure is essential to commodity hedgers and speculators as futures prices serve as a forecast of future spot prices. Commodity markets quotes futures prices on a selection of maturities and delivery periods. In this note, we investigate a Bayesian technique known as Kriging to build a term structure of futures prices by embedding trends and seasonalities and by taking into account bid-ask spreads of market quotations on different delivery periods.

q-fin.PR↗

arXiv2021

Chebyshev Greeks: Smoothing Gamma without Bias

The computation of Greeks is a fundamental task for risk managing of financial instruments. The standard approach to their numerical evaluation is via finite differences. Most exotic derivatives are priced via Monte Carlo simulation: in these cases, it is hard to find a fast and accurate approximation of Greeks, mainly because of the need of a tradeoff between bias and variance. Recent improvements in Greeks computation, such as Adjoint Algorithmic Differentiation, are unfortunately uneffective on second order Greeks (such as Gamma), which are plagued by the most significant instabilities, so that a viable alternative to standard finite differences is still lacking. We apply Chebyshev interpolation techniques to the computation of spot Greeks, showing how to improve the stability of finite difference Greeks of arbitrary order, in a simple and general way. The increased performance of the proposed technique is analyzed for a number of real payoffs commonly traded by financial institutions.

q-fin.CP↗

arXiv2018

Stochastic Dynamic Utilities and Inter-Temporal Preferences

We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information available to the decision maker. Our construction is iterative and based on inter-temporal preference relations, whose characterization is inpired by the original intuition given by Debreu's State Dependent Utilities (1960).

math.PR↗