
Andrea Pallavicini
Andrea Pallavicini is the Head of equity, FX and commodity models at Banca IMI, Milan, and visiting professor at the Department of Mathematics of Imperial College, London. He holds a Ph.D. in Theoretical and Mathematical Physics from the University of Pavia for his reasearch activity at CERN.
Over the years he published several papers in financial modelling, theoretical physics and astrophysics. He is the author of the books “Credit Models and the Crisis: a journey into CDOs, copulas, correlations and dynamic models”, Wiley (2010), and “Counterparty Credit Risk, Collateral and Funding with pricing cases for all asset classes”, Wiley (2013).
Interpolating commodity futures prices with Kriging
a cura di Andrea Pallavicini e Andrea Maran
Posted in: Articolo
Gen
29
2021
Commodity markets may quote the prices of futures contracts for different maturity dates and different delivery periods. If we select a specific delivery period, we can group the prices at different maturities within a single term structure. The shape of the futures term structure is ...more »
Tagged width: capital markets, Pallavicini Andrea