Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement. - Damiano Brigo; Marco Francischello; Andrea Pallavicini (Eur. J. Oper. Res., 2019)

Interpretability in deep learning for finance: a case study for the Heston model. - Damiano Brigo; Xiaoshan Huang; Andrea Pallavicini; Haitz Sáez de Ocáriz Borde (CoRR, 2021)

Reinforcement learning for options on target volatility funds. - Roberto Daluiso; Emanuele Nastasi; Andrea Pallavicini; Stefano Polo (CoRR, 2021)

A general framework for a joint calibration of VIX and VXX options. - Martino Grasselli; Andrea Mazzoran; Andrea Pallavicini (Ann. Oper. Res., 2024)