Roberto Baviera

According to our database, Roberto Baviera authored at least 6 papers between 2021 and 2026.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2026

Fast and General Simulation of Lévy-driven Ornstein-Uhlenbeck processes for Energy Derivatives.

Roberto Baviera, Pietro Manzoni

J. Comput. Appl. Math., 2026

The additive Bachelier model with an application to the oil option market in the Covid period.

Roberto Baviera, Michele Domenico Massaria

J. Comput. Appl. Math., 2026

2024

Short-time implied volatility of additive normal tempered stable processes.

Michele Azzone, Roberto Baviera

Ann. Oper. Res., May, 2024

Tailoring the Tails: Enhancing the Reliability of Probabilistic Load Forecasts.

Roberto Baviera, Pietro Manzoni

Proceedings of the 13th Symposium on Conformal and Probabilistic Prediction with Applications, 2024

2022

Tree-Based Learning in RNNs for Power Consumption Forecasting.

Roberto Baviera, Pietro Manzoni

CoRR, 2022

2021

Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach.

Roberto Baviera, Giulia Bianchi

J. Glob. Optim., 2021