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Details about Alessandro Gnoatto

Homepage:http://www.alessandrognoatto.com
Workplace:Dipartimento di Scienze Economiche (Department of Economics), Facoltà di Economia (Faculty of Economics), Università degli Studi di Verona (University of Verona), (more information at EDIRC)

Access statistics for papers by Alessandro Gnoatto.

Last updated 2020-01-07. Update your information in the RePEc Author Service.

Short-id: pgn28


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Working Papers

2019

  1. Multiple yield curve modelling with CBI processes
    Papers, arXiv.org Downloads
  2. Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin
    Working Papers, University of Verona, Department of Economics Downloads View citations (1)
    Also in Papers, arXiv.org (2019) Downloads View citations (1)
  3. The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
    Papers, arXiv.org Downloads

2018

  1. A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
    Papers, arXiv.org Downloads View citations (1)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2016) Downloads View citations (3)

2017

  1. Affine multiple yield curve models
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Mathematical Finance (2019)

2015

  1. A general HJM framework for multiple yield curve modeling
    Papers, arXiv.org Downloads View citations (10)
    Also in Working Papers, HAL (2014) View citations (1)

    See also Journal Article in Finance and Stochastics (2016)
  2. Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield
    Papers, arXiv.org Downloads View citations (3)

2014

  1. The Wishart short rate model
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2012)

2013

  1. An analytic multi-currency model with stochastic volatility and stochastic interest rates
    Papers, arXiv.org Downloads View citations (6)
  2. Smiles all around: FX joint calibration in a multi-Heston model
    Papers, arXiv.org Downloads View citations (18)
    See also Journal Article in Journal of Banking & Finance (2013)
  3. The explicit Laplace transform for the Wishart process
    Papers, arXiv.org Downloads View citations (5)

2012

  1. A flexible matrix Libor model with smiles
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2013)

Journal Articles

2019

  1. Affine multiple yield curve models
    Mathematical Finance, 2019, 29, (2), 568-611 Downloads View citations (2)
    See also Working Paper (2017)

2017

  1. COHERENT FOREIGN EXCHANGE MARKET MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (01), 1-29 Downloads

2016

  1. A general HJM framework for multiple yield curve modelling
    Finance and Stochastics, 2016, 20, (2), 267-320 Downloads View citations (12)
    See also Working Paper (2015)
  2. General closed-form basket option pricing bounds
    Quantitative Finance, 2016, 16, (4), 535-554 Downloads View citations (14)

2013

  1. A flexible matrix Libor model with smiles
    Journal of Economic Dynamics and Control, 2013, 37, (4), 774-793 Downloads View citations (10)
    See also Working Paper (2012)
  2. Smiles all around: FX joint calibration in a multi-Heston model
    Journal of Banking & Finance, 2013, 37, (10), 3799-3818 Downloads View citations (20)
    See also Working Paper (2013)

2012

  1. THE WISHART SHORT RATE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-24 Downloads View citations (1)
    See also Working Paper (2014)
 
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