Author

Felipe Del Valle Saragoni

Institution: Fondazione Giuseppe Di Vittorio

Observed institution: Fondazione Giuseppe Di Vittorio

ORCID: 0009-0002-0014-3653

Observed ORCID: 0009-0002-0014-3653

OpenAlex ID: A5128791835

Arbitrage-Free Volatility Surface Construction: SVI, SABR, SSVI, and Vanna-Volga Calibration Methods

2026 · Felipe Del Valle Saragoni · SSRN Electronic Journal

A Complete Taxonomy of Black-Scholes Greeks: Closed-Form Solutions for First, Second, and Third-Order Sensitivities

2026 · Felipe Del Valle Saragoni · SSRN Electronic Journal

A Microstructure-Penalised LOB-Former: Attention-Head Recovery of a Rolling-OLS Kyle-Lambda Proxy

2026 · Felipe Del Valle Saragoni · SSRN Electronic Journal

Adaptive Conformal Inference for Distribution-Free Value-at-Risk: Evidence from the 2008 S&P 500 Crisis

2026 · Felipe Del Valle Saragoni · SSRN Electronic Journal

When Zero Tolerance Is Achievable: Bit-Identical Dual-Runtime Validation of Quantitative Kernels with a Self-Compiling Toolchain

2026 · Felipe Del Valle Saragoni · SSRN Electronic Journal

Works count: 5

Citation count:

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