Financial Engineering Workshop - Emanuele Nastasi (swissQuant)

Emanuele Nastasi is a Quant Engineer at swissQuant. He will be giving a seminar titled "Pricing Commodity Swing Options" on Wednesday 7th December 2022 from 18:00 - 19:00.

Abstract
Swing options are a fairly common type of contract in energy markets, such as gas or electricity. These contracts allow the buyer to choose, on a typically daily basis and during a certain time window, the quantity of energy to be delivered within daily and global volume constraints. The delivery price can

be decided at inception or can be determined on the basis of a market index, before the delivery period. From a modeling point of view, the pricing of these contracts presents two problems: on the one hand, the definition of a volatility model that is consistent with the liquid hedge instruments, such as the Forwards and Plain Vanillas on them and on the other hand, the solution of the stochastic control problem for the optimal delivery strategies. In this presentation, taking the natural gas market as an example, we describe a new model efficiently calibrated on the liquid market quotes and able to imply volatility smiles for different delivery tenors in a parsimonious way. Furthermore, for the solution of the control problem, we compare a new approach based on Reinforcement Learning techniques with the classic Least Squares Monte Carlo approach and we discuss possible future developments based on the new approach.

Bio
Born and raised in Rome, Emanuele earned a master’s degree in Theoretical Physics with full marks at Sapienza Univeristà di Roma and then a PhD in Mathematical Engineering at Politecnico di Milano. His doctoral course is focused on mathematical finance topics and on the pricing of derivative contracts as well as his thesis where he addressed the problem of the pricing of derivatives written on multiple underlying assets. Six months before the thesis defense he begins his career in the financial industry by joining the Financial Engineering group of Banca IMI. During this experience he developed production models for the evaluation of exotic derivatives for the Equity, FX and Commodity desks. After four years at Banca IMI, Emanuele joins the gas shipper ENOI as head of the risk desk where he remains for a year, and then the consultancy company swissQuant Group in the role of Quant Engineer.

The Financial Engineering Workshop will take place in-person and online via Zoom.

To access the link to the online seminar, please register the day before the seminar, otherwise you may not be given access.

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