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Financial Engineering Workshop - Stefano Scoleri (Be Management Consulting)
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Abstract
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 ineffective 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. Joint work with A. Maran and A. Pallavicini. Paper available at https://ssrn.com/abstract=3872744
Bio
Stefano Scoleri holds a Ph.D. in theoretical physics from Università degli Studi di Milano, and a Master's degree in Quantitative Finance from MIP - Politecnico di Milano. From 2019 he works in Be Management Consulting as a Quantitative Analyst, offering consultancy services to the Financial Engineering desk of a primary Italian investment bank. Previously, he worked as a Risk Quant for Iason Ltd and IBM. His research interests include equity and FX derivatives pricing models, numerical methods for option pricing and applications of Machine Learning in Finance.
The Financial Engineering Workshop will take place online via Microsoft Teams.
For the link to the online seminar please register before 2pm on the day of the seminar otherwise you will not be given access.
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Online Event
Online Event