Pricing with Rough Bergomi Model in Commodity Markets

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UDC.coleccionPublicacións UDC
UDC.conferenceTitleXoveTIC: impulsando el talento científico (8º. 2025. A Coruña)
UDC.departamentoMatemáticas
UDC.endPage38
UDC.grupoInvModelos e Métodos Numéricos en Enxeñaría e Ciencias Aplicadas (M2NICA)
UDC.institutoCentroCITIC - Centro de Investigación de Tecnoloxías da Información e da Comunicación
UDC.startPage31
dc.contributor.authorDaluiso, Roberto
dc.contributor.authorFolgar-Cameán, Héctor
dc.contributor.authorPallavicini, Andrea
dc.contributor.authorVázquez, Carlos
dc.date.accessioned2026-09-21T17:28:24Z
dc.date.available2026-09-21T17:28:24Z
dc.date.issued2025
dc.descriptionPresentado en: VIII Congreso Xove TIC: impulsando el talento científico. Octubre, 2025, A Coruña.
dc.description.abstract[Abstract] In this work, we present an analysis of the applicability of rough volatility in commodity markets. We propose a rough volatility model for pricing European options on commodity futures, based on the work of Nastasi et al. (2020). Furthermore, we present an efficient numerical scheme for simulating the model and calibrating it to real market data on WTI crude oil.
dc.identifier.citationDaluiso, R., Folgar-Cameán, H., Pallavicini, A., & Vázquez, C. (2026). Pricing with Rough Bergomi Model in Commodity Markets. In Proceedings XoveTIC 2025: Impulsando el talento científico (pp. 31-38). Servizo de Publicacións UDC. https://doi.org/10.17979/spu.23.c14
dc.identifier.doi10.17979/spu.23.c14
dc.identifier.isbn978-84-9749-925-5
dc.identifier.urihttps://hdl.handle.net/2183/49348
dc.language.isoeng
dc.publisherUniversidade da Coruña, Servizo de Publicacións
dc.relation.urihttps://doi.org/10.17979/spu.23.c14
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internationalen
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectRough Bergomi model
dc.subjectCommodity markets
dc.subjectDerivative pricing
dc.subjectStochastic volatility
dc.subjectQuantitative finance
dc.titlePricing with Rough Bergomi Model in Commodity Markets
dc.typeconference output
dspace.entity.typePublication
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relation.isAuthorOfPublication.latestForDiscoverydbc2be8e-6741-46b3-a22e-b648eae643d4

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