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Matteo Michielon

Observed name: MATTEO MICHIELON
ORCID: 0000-0002-7842-4992
Observed ORCID: 0000-0002-7842-4992
OpenAlex ID: A5043623964
Neural network empowered liquidity pricing in a two-price economy under conic finance settings
2024 · Matteo Michielon, Diogo Franquinho, et al. · Quantitative Finance · 5
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Proxying credit curves via Wasserstein distances
2022 · Matteo Michielon, Asma Khedher, et al. · Annals of Operations Research · 3
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Conic Cva and Dva for Option Portfolios
2020 · SJOERD VAN BAKEL, SVETLANA BOROVKOVA, et al. · International Journal of Theoretical and Applied Finance · 3
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
2024 · Matteo Michielon · Quantitative Finance · 2
Liquidity-free implied volatilities: An approach using conic finance
2021 · Matteo Michielon, Asma Khedher, et al. · International Journal of Financial Engineering · 2
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From Bid-ask Credit Default Swap Quotes to Risk-neutral Default Probabilities Using Distorted Expectations
2021 · MATTEO MICHIELON, ASMA KHEDHER, et al. · International Journal of Theoretical and Applied Finance · 2
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On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves
2023 · Matteo Michielon, Asma Khedher, et al. · International Journal of Financial Engineering
A New Pricing Model for Cash-Settled Swaptions
2017 · RAOUL PIETERSZ, FRANK SENGERS, et al. · International Journal of Theoretical and Applied Finance
Works count: 8
Citation count: 17
H-index: 3
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