stefano scoleri - Academia.edu (original) (raw)

Papers by stefano scoleri

We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) x SU(2) sector up ... more We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) x SU(2) sector up to eight loops. Combining Bethe Ansatz techniques and N = 2 superspace methods, we are able to fix all the coefficients appearing in the maximal-reshuffling terms. In particular, we can directly compute from Feynman diagrams the leading order coefficient of the dressing phase and find an agreement with the relation conjectured by Gromov and Vieira between the ABJM and N = 4 SYM phase factor.

Valuation adjustments are nowadays a common practice to include credit and liquidity effects in o... more Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can be reliably assessed. In particular, when dealing with linear products, we need a precise evaluation of such contributions since bid-ask spreads may be very tight. In this paper we start from a general pricing framework inclusive of valuation adjustments to derive simple evaluation formulae for the relevant case of total return equity swaps when stock lending and borrowing is adopted as hedging strategy.

The computation of Greeks is a fundamental task for risk managing of financial instruments. The s... more 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 uneffective 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 institu...

We review and apply quasi-Monte Carlo (QMC) and global sensitivity analysis (GSA) techniques to p... more We review and apply quasi-Monte Carlo (QMC) and global sensitivity analysis (GSA) techniques to pricing and risk management (Greeks) of representative finan-cial instruments of increasing complexity.1 We compare QMC vs. standard Monte Carlo (MC) results in great detail, using high-dimensional Sobol ’ low-discrepancy sequences, different discretization methods, and specific analyses of convergence, performance, speed-up, stability, and error optimization for finite difference Greeks. We find that our QMC outperforms MC in most cases, including the highest-dimen-sional simulations and Greeks calculations, showing faster and more stable conver-gence to exact or almost exact results. Using GSA, we are able to fully explain our findings in terms of reduced effective dimension of our QMC simulation, allowed in most cases, but not always, by Brownian bridge discretization. We conclude that, beyond pricing, QMC is a very promising technique also for computing risk figures, Greeks in particu...

Derivatives eJournal, 2021

The computation of Greeks is a fundamental task for risk managing of financial instruments. The s... more 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 uneffective 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 institu...

We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up ... more We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up to eight loops. Combining Bethe Ansatz techniques and N = 2 superspace methods, we are able to fix all the coefficients appearing in the maximal-reshuffling terms. In particular, we can directly compute from Feynman diagrams the leading order coefficient β (6) 2,3 of the dressing phase and find an agreement with the relation conjectured by Gromov and Vieira between the ABJM and N = 4 SYM phase factor.

One of the most fascinating discoveries of contemporary Theoretical Physics is the AdS/CFT corres... more One of the most fascinating discoveries of contemporary Theoretical Physics is the AdS/CFT correspondence relating gauge theories to gravity theories. Soon after its formulation, tremendous developments allowed to obtain a deep comprehension of the four-dimensional N = 4 SYM theory and, in particular, led to the discovery of integrable structures both in the gauge theory itself and in its string counterpart. In the last few years, much attention was devoted to the study of supersymmetric ChernSimons-matter theories in three dimensions. In this class of theories a distinguished role is played by the N = 6 ABJM model which is a U(N)k×U(N)−k superconformal gauge theory with Chern-Simons level k. Indeed, in the large N limit, the ABJM theory has been conjectured to be the AdS/CFT dual description of M-theory on an AdS4 × S/Zk background and, for k ≪ N ≪ k, of a type IIA string theory on AdS4 × CP. For this reason, soon after its discovery the ABJM model has quickly become the ideal thre...

SSRN Electronic Journal, 2017

Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing ... more Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing and hedging representative financial instruments of increasing complexity. We compare standard Monte Carlo (MC) vs QMC results using Sobol' low discrepancy sequences, different sampling strategies, and various analyses of performance. We find that QMC outperforms MC in most cases, including the highest-dimensional simulations, showing faster and more stable convergence. Regarding greeks computation, we compare standard approaches, based on finite differences (FD) approximations, with adjoint methods (AAD) providing evidences that, when the number of greeks is small, the FD approach combined with QMC can lead to the same accuracy as AAD, thanks to increased convergence rate and stability, thus saving a lot of implementation effort while keeping low computational cost. Using GSA, we are able to fully explain our findings in terms of reduced effective dimension of QMC simulation, allowed in most cases, but not always, by Brownian bridge discretization or PCA construction. We conclude that, beyond pricing, QMC is a very efficient technique also for computing risk measures, greeks in particular, as it allows to reduce the computational effort of highdimensional Monte Carlo simulations typical of modern risk management.

SSRN Electronic Journal, 2000

We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to p... more We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of increasing complexity. We compare QMC vs standard Monte Carlo (MC) results in great detail, using high-dimensional Sobol' low discrepancy sequences, different discretization methods, and specific analyses of convergence, performance, speed up, stability, and error optimisation for finite differences greeks. We find that our QMC outperforms MC in most cases, including the highest-dimensional simulations and greeks calculations, showing faster and more stable convergence to exact or almost exact results. Using GSA, we are able to fully explain our findings in terms of reduced effective dimension of our QMC simulation, allowed in most cases, but not always, by Brownian bridge discretization. We conclude that, beyond pricing, QMC is a very promising technique also for computing risk figures, greeks in particular, as it allows to reduce the computational effort of high-dimensional Monte Carlo simulations typical of modern risk management.

Valuation adjustments are nowadays a common practice to include credit and liquidity effects in o... more Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can be reliably assessed. In particular, when dealing with linear products, we need a precise evaluation of such contributions since bid-ask spreads may be very tight. In this paper we start from a general pricing framework inclusive of valuation adjustments to derive simple evaluation formulae for the relevant case of total return equity swaps when stock lending and borrowing is adopted as hedging strategy.

Journal of High Energy Physics, 2013

We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up ... more We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up to eight loops. Combining Bethe Ansatz techniques and N = 2 superspace methods, we are able to fix all the coefficients appearing in the maximal-reshuffling terms. In particular, we can directly compute from Feynman diagrams the leading order coefficient β (6) 2,3 of the dressing phase and find an agreement with the relation conjectured by Gromov and Vieira between the ABJM and N = 4 SYM phase factor.

We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) x SU(2) sector up ... more We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) x SU(2) sector up to eight loops. Combining Bethe Ansatz techniques and N = 2 superspace methods, we are able to fix all the coefficients appearing in the maximal-reshuffling terms. In particular, we can directly compute from Feynman diagrams the leading order coefficient of the dressing phase and find an agreement with the relation conjectured by Gromov and Vieira between the ABJM and N = 4 SYM phase factor.

Valuation adjustments are nowadays a common practice to include credit and liquidity effects in o... more Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can be reliably assessed. In particular, when dealing with linear products, we need a precise evaluation of such contributions since bid-ask spreads may be very tight. In this paper we start from a general pricing framework inclusive of valuation adjustments to derive simple evaluation formulae for the relevant case of total return equity swaps when stock lending and borrowing is adopted as hedging strategy.

The computation of Greeks is a fundamental task for risk managing of financial instruments. The s... more 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 uneffective 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 institu...

We review and apply quasi-Monte Carlo (QMC) and global sensitivity analysis (GSA) techniques to p... more We review and apply quasi-Monte Carlo (QMC) and global sensitivity analysis (GSA) techniques to pricing and risk management (Greeks) of representative finan-cial instruments of increasing complexity.1 We compare QMC vs. standard Monte Carlo (MC) results in great detail, using high-dimensional Sobol ’ low-discrepancy sequences, different discretization methods, and specific analyses of convergence, performance, speed-up, stability, and error optimization for finite difference Greeks. We find that our QMC outperforms MC in most cases, including the highest-dimen-sional simulations and Greeks calculations, showing faster and more stable conver-gence to exact or almost exact results. Using GSA, we are able to fully explain our findings in terms of reduced effective dimension of our QMC simulation, allowed in most cases, but not always, by Brownian bridge discretization. We conclude that, beyond pricing, QMC is a very promising technique also for computing risk figures, Greeks in particu...

Derivatives eJournal, 2021

The computation of Greeks is a fundamental task for risk managing of financial instruments. The s... more 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 uneffective 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 institu...

We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up ... more We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up to eight loops. Combining Bethe Ansatz techniques and N = 2 superspace methods, we are able to fix all the coefficients appearing in the maximal-reshuffling terms. In particular, we can directly compute from Feynman diagrams the leading order coefficient β (6) 2,3 of the dressing phase and find an agreement with the relation conjectured by Gromov and Vieira between the ABJM and N = 4 SYM phase factor.

One of the most fascinating discoveries of contemporary Theoretical Physics is the AdS/CFT corres... more One of the most fascinating discoveries of contemporary Theoretical Physics is the AdS/CFT correspondence relating gauge theories to gravity theories. Soon after its formulation, tremendous developments allowed to obtain a deep comprehension of the four-dimensional N = 4 SYM theory and, in particular, led to the discovery of integrable structures both in the gauge theory itself and in its string counterpart. In the last few years, much attention was devoted to the study of supersymmetric ChernSimons-matter theories in three dimensions. In this class of theories a distinguished role is played by the N = 6 ABJM model which is a U(N)k×U(N)−k superconformal gauge theory with Chern-Simons level k. Indeed, in the large N limit, the ABJM theory has been conjectured to be the AdS/CFT dual description of M-theory on an AdS4 × S/Zk background and, for k ≪ N ≪ k, of a type IIA string theory on AdS4 × CP. For this reason, soon after its discovery the ABJM model has quickly become the ideal thre...

SSRN Electronic Journal, 2017

Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing ... more Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing and hedging representative financial instruments of increasing complexity. We compare standard Monte Carlo (MC) vs QMC results using Sobol' low discrepancy sequences, different sampling strategies, and various analyses of performance. We find that QMC outperforms MC in most cases, including the highest-dimensional simulations, showing faster and more stable convergence. Regarding greeks computation, we compare standard approaches, based on finite differences (FD) approximations, with adjoint methods (AAD) providing evidences that, when the number of greeks is small, the FD approach combined with QMC can lead to the same accuracy as AAD, thanks to increased convergence rate and stability, thus saving a lot of implementation effort while keeping low computational cost. Using GSA, we are able to fully explain our findings in terms of reduced effective dimension of QMC simulation, allowed in most cases, but not always, by Brownian bridge discretization or PCA construction. We conclude that, beyond pricing, QMC is a very efficient technique also for computing risk measures, greeks in particular, as it allows to reduce the computational effort of highdimensional Monte Carlo simulations typical of modern risk management.

SSRN Electronic Journal, 2000

We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to p... more We review and apply Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques to pricing and risk management (greeks) of representative financial instruments of increasing complexity. We compare QMC vs standard Monte Carlo (MC) results in great detail, using high-dimensional Sobol' low discrepancy sequences, different discretization methods, and specific analyses of convergence, performance, speed up, stability, and error optimisation for finite differences greeks. We find that our QMC outperforms MC in most cases, including the highest-dimensional simulations and greeks calculations, showing faster and more stable convergence to exact or almost exact results. Using GSA, we are able to fully explain our findings in terms of reduced effective dimension of our QMC simulation, allowed in most cases, but not always, by Brownian bridge discretization. We conclude that, beyond pricing, QMC is a very promising technique also for computing risk figures, greeks in particular, as it allows to reduce the computational effort of high-dimensional Monte Carlo simulations typical of modern risk management.

Valuation adjustments are nowadays a common practice to include credit and liquidity effects in o... more Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added to option prices to take into account the production cost of financial contracts so that a profitability analysis can be reliably assessed. In particular, when dealing with linear products, we need a precise evaluation of such contributions since bid-ask spreads may be very tight. In this paper we start from a general pricing framework inclusive of valuation adjustments to derive simple evaluation formulae for the relevant case of total return equity swaps when stock lending and borrowing is adopted as hedging strategy.

Journal of High Energy Physics, 2013

We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up ... more We study the planar asymptotic dilatation operator of ABJM theory in the SU(2) × SU(2) sector up to eight loops. Combining Bethe Ansatz techniques and N = 2 superspace methods, we are able to fix all the coefficients appearing in the maximal-reshuffling terms. In particular, we can directly compute from Feynman diagrams the leading order coefficient β (6) 2,3 of the dressing phase and find an agreement with the relation conjectured by Gromov and Vieira between the ABJM and N = 4 SYM phase factor.