Matteo Michielon
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List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| On bid and ask pricing of European options via direct discretization of Choquet distorted expectations Quantitative Finance | 2025-03-10 | Paper |
| Neural network empowered liquidity pricing in a two-price economy under conic finance settings Quantitative Finance | 2025-01-06 | Paper |
| Proxying credit curves via Wasserstein distances Annals of Operations Research | 2024-06-04 | Paper |
| From bid-ask credit default swap quotes to risk-neutral default probabilities using distorted expectations International Journal of Theoretical and Applied Finance | 2021-08-24 | Paper |
| CONIC CVA AND DVA FOR OPTION PORTFOLIOS International Journal of Theoretical and Applied Finance | 2021-01-29 | Paper |
| CASH-SETTLED SWAPTIONS: A NEW PRICING MODEL International Journal of Theoretical and Applied Finance | 2020-08-05 | Paper |
Research outcomes over time
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