Details about Alessandro Gnoatto
Access statistics for papers by Alessandro Gnoatto.
Last updated 2026-08-11. Update your information in the RePEc Author Service.
Short-id: pgn28
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Working Papers
2026
- Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
Papers, arXiv.org 
2025
- A deep solver for BSDEs with jumps
Papers, arXiv.org View citations (7)
- A deep solver for backward stochastic Volterra integral equations
Papers, arXiv.org
- Convergence of a Deep BSDE solver with jumps
Papers, arXiv.org View citations (1)
- Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
Papers, arXiv.org View citations (1)
- When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization
Papers, arXiv.org
2024
- Deep Quadratic Hedging
Papers, arXiv.org
See also Journal Article Deep Quadratic Hedging, Mathematics of Operations Research, INFORMS (2025) (2025)
2022
- A change of measure formula for recursive conditional expectations
Papers, arXiv.org
See also Journal Article A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2024) (2024)
- CBI-time-changed L\'evy processes for multi-currency modeling
Papers, arXiv.org View citations (3)
Also in Working Papers, University of Verona, Department of Economics (2021)
See also Journal Article CBI-time-changed Lévy processes for multi-currency modeling, Annals of Operations Research, Springer (2024) (2024)
- CBI-time-changed Lévy processes
Working Papers, University of Verona, Department of Economics
See also Journal Article CBI-time-changed Lévy processes, Stochastic Processes and their Applications, Elsevier (2023) (2023)
- 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 (16)
2021
- A Fully Quantization-based Scheme for FBSDEs
Papers, arXiv.org
Also in Working Papers, University of Verona, Department of Economics (2021)
See also Journal Article A fully quantization-based scheme for FBSDEs, Applied Mathematics and Computation, Elsevier (2023) View citations (1) (2023)
- A unified approach to xVA with CSA discounting and initial margin
Papers, arXiv.org View citations (9)
- 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 (2) (2022)
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
Papers, arXiv.org View citations (6)
Also in Working Papers, University of Verona, Department of Economics (2020) View citations (1)
2020
- 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
- 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)
- The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
Papers, arXiv.org
2018
- 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 (5)
2017
- 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 (17) (2019)
2015
- 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 (37) (2016)
- Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield
Papers, arXiv.org View citations (3)
2014
- 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 (11) (2012)
2013
- An analytic multi-currency model with stochastic volatility and stochastic interest rates
Papers, arXiv.org View citations (8)
- Smiles all around: FX joint calibration in a multi-Heston model
Papers, arXiv.org View citations (34)
See also Journal Article Smiles all around: FX joint calibration in a multi-Heston model, Journal of Banking & Finance, Elsevier (2013) View citations (35) (2013)
- The explicit Laplace transform for the Wishart process
Papers, arXiv.org View citations (5)
2012
- 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
2025
- Deep Quadratic Hedging
Mathematics of Operations Research, 2025, 50, (4), 2972-3009
See also Working Paper Deep Quadratic Hedging, Papers (2024) (2024)
2024
- A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS
International Journal of Theoretical and Applied Finance (IJTAF), 2024, 27, (02), 1-23
See also Working Paper A change of measure formula for recursive conditional expectations, Papers (2022) (2022)
- CBI-time-changed Lévy processes for multi-currency modeling
Annals of Operations Research, 2024, 336, (1), 127-152
See also Working Paper CBI-time-changed L\'evy processes for multi-currency modeling, Papers (2022) View citations (3) (2022)
- Quantization of stochastic volatility models: Numerical tests and an open source implementation
Mathematics and Computers in Simulation (MATCOM), 2024, 225, (C), 29-51
2023
- A fully quantization-based scheme for FBSDEs
Applied Mathematics and Computation, 2023, 441, (C) View citations (1)
See also Working Paper A Fully Quantization-based Scheme for FBSDEs, Papers (2021) (2021)
- CBI-time-changed Lévy processes
Stochastic Processes and their Applications, 2023, 163, (C), 323-349
See also Working Paper CBI-time-changed Lévy processes, Working Papers (2022) (2022)
2022
- 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 (2)
See also Working Paper Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach, Working Papers (2021) View citations (2) (2021)
- Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes
Quantitative Finance, 2022, 22, (11), 1971-1972
2020
- GENERAL ANALYSIS OF LONG-TERM INTEREST RATES
International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (01), 1-29
2019
- Affine multiple yield curve models
Mathematical Finance, 2019, 29, (2), 568-611 View citations (17)
See also Working Paper Affine multiple yield curve models, Papers (2017) View citations (7) (2017)
2017
- COHERENT FOREIGN EXCHANGE MARKET MODELS
International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (01), 1-29 View citations (5)
2016
- A general HJM framework for multiple yield curve modelling
Finance and Stochastics, 2016, 20, (2), 267-320 View citations (37)
See also Working Paper A general HJM framework for multiple yield curve modeling, Papers (2015) View citations (10) (2015)
- General closed-form basket option pricing bounds
Quantitative Finance, 2016, 16, (4), 535-554 View citations (26)
2013
- 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)
- Smiles all around: FX joint calibration in a multi-Heston model
Journal of Banking & Finance, 2013, 37, (10), 3799-3818 View citations (35)
See also Working Paper Smiles all around: FX joint calibration in a multi-Heston model, Papers (2013) View citations (34) (2013)
2012
- THE WISHART SHORT RATE MODEL
International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (08), 1-24 View citations (11)
See also Working Paper The Wishart short rate model, Papers (2014) View citations (4) (2014)
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