Details about Alessandro Gnoatto

Access statistics for papers by Alessandro Gnoatto.

Last updated 2022-11-16. Update your information in the RePEc Author Service.

Short-id: pgn28

Working Papers

2024

1. A deep solver for BSDEs with jumps
   Papers, arXiv.org View citations (4)

2022

2. A change of measure formula for recursive conditional expectations
   Papers, arXiv.org
3. CBI-time-changed L\'evy processes for multi-currency modeling
   Papers, arXiv.org View citations (1)
   Also in Working Papers, University of Verona, Department of Economics (2021)
4. CBI-time-changed Lévy processes
   Working Papers, University of Verona, Department of Economics
5. Deep xVA solver -- A neural network based counterparty credit risk management framework
   Papers, arXiv.org View citations (5)
   Also in Working Papers, University of Verona, Department of Economics (2020) View citations (14)

2021

6. A Fully Quantization-based Scheme for FBSDEs
   Working Papers, University of Verona, Department of Economics
   Also in Papers, arXiv.org (2021)
7. A unified approach to xVA with CSA discounting and initial margin
   Papers, arXiv.org View citations (5)
8. Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach
   Working Papers, University of Verona, Department of Economics View citations (2)
   See also Journal Article Calibration to FX triangles of the 4/2 model under the benchmark approach, Decisions in Economics and Finance, Springer (2022) View citations (1) (2022)
9. Cross Currency Valuation and Hedging in the Multiple Curve Framework
   Papers, arXiv.org View citations (4)
   Also in Working Papers, University of Verona, Department of Economics (2020) View citations (1)

2020

10. Multiple yield curve modelling with CBI processes
    Papers, arXiv.org View citations (1)
    Also in Working Papers, University of Verona, Department of Economics (2019) View citations (1)

2019

11. Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin
    Working Papers, University of Verona, Department of Economics View citations (4)
12. The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
    Papers, arXiv.org

2018

13. A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
    Papers, arXiv.org View citations (3)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2016) View citations (4)

2017

14. Affine multiple yield curve models
    Papers, arXiv.org View citations (7)
    See also Journal Article Affine multiple yield curve models, Mathematical Finance, Wiley Blackwell (2019) View citations (16) (2019)

2015

15. A general HJM framework for multiple yield curve modeling
    Papers, arXiv.org View citations (10)
    Also in Working Papers, HAL (2014) View citations (4)
    See also Journal Article A general HJM framework for multiple yield curve modelling, Finance and Stochastics, Springer (2016) View citations (35) (2016)
16. Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield
    Papers, arXiv.org View citations (3)

2014

17. The Wishart short rate model
    Papers, arXiv.org View citations (4)
    See also Journal Article THE WISHART SHORT RATE MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (10) (2012)

2013

18. An analytic multi-currency model with stochastic volatility and stochastic interest rates
    Papers, arXiv.org View citations (8)
19. Smiles all around: FX joint calibration in a multi-Heston model
    Papers, arXiv.org View citations (29)
    See also Journal Article Smiles all around: FX joint calibration in a multi-Heston model, Journal of Banking & Finance, Elsevier (2013) View citations (30) (2013)
20. The explicit Laplace transform for the Wishart process
    Papers, arXiv.org View citations (5)

2012

21. A flexible matrix Libor model with smiles
    Papers, arXiv.org
    See also Journal Article A flexible matrix Libor model with smiles, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (10) (2013)

Journal Articles

2022

1. Calibration to FX triangles of the 4/2 model under the benchmark approach
   Decisions in Economics and Finance, 2022, 45, (1), 1-34 View citations (1)
   See also Working Paper Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach, Working Papers (2021) View citations (2) (2021)
2. Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes
   Quantitative Finance, 2022, 22, (11), 1971-1972

2020

3. GENERAL ANALYSIS OF LONG-TERM INTEREST RATES
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (01), 1-29

2019

4. Affine multiple yield curve models
   Mathematical Finance, 2019, 29, (2), 568-611 View citations (16)
   See also Working Paper Affine multiple yield curve models, Papers (2017) View citations (7) (2017)

2017

5. COHERENT FOREIGN EXCHANGE MARKET MODELS
   International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (01), 1-29 View citations (4)

2016

6. A general HJM framework for multiple yield curve modelling
   Finance and Stochastics, 2016, 20, (2), 267-320 View citations (35)
   See also Working Paper A general HJM framework for multiple yield curve modeling, Papers (2015) View citations (10) (2015)
7. General closed-form basket option pricing bounds
   Quantitative Finance, 2016, 16, (4), 535-554 View citations (25)

2013

8. A flexible matrix Libor model with smiles
   Journal of Economic Dynamics and Control, 2013, 37, (4), 774-793 View citations (10)
   See also Working Paper A flexible matrix Libor model with smiles, Papers (2012) (2012)
9. Smiles all around: FX joint calibration in a multi-Heston model
   Journal of Banking & Finance, 2013, 37, (10), 3799-3818 View citations (30)
   See also Working Paper Smiles all around: FX joint calibration in a multi-Heston model, Papers (2013) View citations (29) (2013)

2012

10. THE WISHART SHORT RATE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-24 View citations (10)
    See also Working Paper The Wishart short rate model, Papers (2014) View citations (4) (2014)