Gabriele Pompa

  +39 3287520911
  +39 069085992

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I am a Ph.D. Candidate in Management Science (CDSS/MS, XXXVIII cycle) at IMT Institute for Advanced Studies Lucca. 

My field of research is quantitative finance and currently my research interests mainly concern the consistent modeling of index and volatility derivatives.

My activity is supervised by Prof. Roberto Renò (reno@univr.it). 

Before reaching IMT, I obtained my M.Sc. cum laude in Theoretical Physics at the University of Rome "La Sapienza", Rome, Italy.
 

 

Working Papers

C. Pacati, G. Pompa and R. Renò "Smiling twice: the Heston++ model"

ABSTRACT - We study the addition of a deterministic displacement to multi-factor affine mod- els to calibrate vanilla options on S&P500 and VIX derivatives jointly. The proposed model, labelled Heston++, can calibrate both markets with an average relative error (on quoted implied volatilities) of 2%, and a maximum relative error of 4%, without ad- ditional computational costs. Our empirical results show a remarkable improvement in the pricing performance over non-displaced traditional models, and also provide strong empirical support for the presence of both price-volatility co-jumps and idiosyncratic jumps in the volatility dynamics. 

G. Pompa "Pricing VIX derivatives: a critical review"

ABSTRACT - Prominent recent contributions to the VIX futures and options pricing literature are reviewed. Emphasis is posed on the features of each model and on the appropriateness of each specification on the basis of the ability in reproducing the peculiar structural properties of VIX derivative market data. Standalone VIX index models and consistent models of VIX and S&P500 are separately reviewed. The mathematical notation of each model and the analytical techniques were uniformed in order to ease comparison. Finally, a general pricing framework is introduced, which features a general specification of the volatility process through the effect of two deterministic shift functions - one modulating the amplitude and the second offsetting lower bound - which still preserves the affinity of the model and closed-form VIX futures and options pricing formulas. 

Publications

Research Interests

My current research activity is mainly focused on option pricing, and in particular:

  • mathematical formulation of affine stochastic models (and extensions) for consistent pricing of index derivatives (SPX vanilla) and volatility derivatives (VIX futures, VIX options);
  • Implementation and testing of models both on S&P500 and VIX implied volatility surface and VIX futures term structure;

Overall my research interest concern quantitative finance, and in particular:

  • asset and derivatives pricing,
  • mathematical finance,

  • numerical methods.