Details about Marco Bianchetti

Access statistics for papers by Marco Bianchetti.

Last updated 2023-04-10. Update your information in the RePEc Author Service.

Short-id: pbi153

Working Papers

2021

1. Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
   Papers, arXiv.org View citations (2)
2. Learning Bermudans
   Papers, arXiv.org

2016

3. Brexit or Bremain ? Evidence from bubble analysis
   Papers, arXiv.org View citations (1)

2015

4. Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
   Papers, arXiv.org View citations (7)

2013

5. Markets Evolution After the Credit Crunch
   Papers, arXiv.org View citations (2)

2012

6. Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
   Papers, arXiv.org View citations (12)
7. The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management
   MPRA Paper, University Library of Munich, Germany
   Also in Papers, arXiv.org (2012) View citations (3)
8. Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
   Papers, arXiv.org View citations (20)

Journal Articles

2011

1. Interest Rates After the Credit Crunch: Markets and Models Evolution
   Journal of Financial Transformation, 2011, 32, 35-48 View citations (1)