Details about Marco Bianchetti

Access statistics for papers by Marco Bianchetti.

Last updated 2025-09-09. Update your information in the RePEc Author Service.

Short-id: pbi153

Working Papers

2025

1. Effective dimensionality reduction for Greeks computation using Randomized QMC
   Papers, arXiv.org
2. Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask
   Papers, arXiv.org View citations (3)
3. No Fear of Discounting How to Manage the Transition from EONIA to ESTR
   Papers, arXiv.org
4. Risk-aware Trading Portfolio Optimization
   Papers, arXiv.org

2021

5. Learning Bermudans
   Papers, arXiv.org
   See also Journal Article Learning Bermudans, Computational Economics, Springer (2024) (2024)

2016

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

2015

7. Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
   Papers, arXiv.org View citations (9)

2013

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

2012

9. Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR
   Papers, arXiv.org View citations (11)
10. 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)
11. Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
    Papers, arXiv.org View citations (20)

Journal Articles

2024

1. Learning Bermudans
   Computational Economics, 2024, 64, (5), 2813-2852
   See also Working Paper Learning Bermudans, Papers (2021) (2021)
2. XVA modelling: validation, performance and model risk management
   Annals of Operations Research, 2024, 336, (1), 183-274

2011

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