no code implementations • 24 Jan 2020 • Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts.
no code implementations • 29 Aug 2018 • Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes.