Dr, Luca Pelizzari
POSTDOCTORAL RESEARCHER
MAIN RESEARCH INTERESTS
- Rough analysis and signatures
- Stochastic Volterra equations
- Rough volatility models
PUBLICATIONS
- P. Bank, C. Bayer, P.K. Friz, L. Pelizzari, Rough PDEs for local stochastic volatility models, Mathematical Finance, https://doi.org/10.1111/mafi.12458, 2025.
- C. Bayer, L. Pelizzari, J. Schoenmakers, Primal and dual optimal stopping with signatures, Finance & Stochastics, https://doi.org/10.1007/s00780-025-00570-8, 2025.
- E. Abi Jaber, C. Cuchiero, L. Pelizzari, S. Pulido, S. Svaluto-Ferro, Polynomial Volterra processes, Electron. J. Probab. 29: 1-37 (2024). DOI: 10.1214/24-EJP1234, 2024.
- C. Bayer, L. Pelizzari, J. Zhu, Pricing American options under rough volatility using deep-signatures and signature-kernels, to appear in Stochastic Analysis and Applications 2025, Springer, Preprint: arXiv:2501.06758, 2025.
- PhD-Thesis: L. Pelizzari, Topics in rough and stochastic analysis with applications in finance, depositonce.tu-berlin.de/items/29620955-92c0-40ce-a9e6-f6c2713693b8, 2025.
Preprint(s)
- C. Bayer, D. Gogolashvili, L. Pelizzari: Local regression on path spaces with signature metrics, 2025, doi.org/10.48550/arXiv.2510.16728