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Details about Andrea Pallavicini

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Workplace:Imperial College, Department of Mathematics

Access statistics for papers by Andrea Pallavicini.

Last updated 2019-06-13. Update your information in the RePEc Author Service.

Short-id: ppa573


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Working Papers

2019

  1. Funding Adjustments in Equity Linear Products
    Papers, arXiv.org Downloads
  2. On the consistency of jump-diffusion dynamics for FX rates under inversion
    Papers, arXiv.org Downloads

2018

  1. Risk-neutral valuation under differential funding costs, defaults and collateralization
    Papers, arXiv.org Downloads View citations (3)
  2. Smile Modelling in Commodity Markets
    Papers, arXiv.org Downloads

2017

  1. An indifference approach to the cost of capital constraints: KVA and beyond
    Papers, arXiv.org Downloads View citations (1)
  2. Quantization goes Polynomial
    Papers, arXiv.org Downloads
  3. Rough volatility: evidence from option prices
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in IISE Transactions (2018)

2015

  1. A backward Monte Carlo approach to exotic option pricing
    Papers, arXiv.org Downloads View citations (1)
  2. FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
    Papers, arXiv.org Downloads View citations (1)
  3. Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2018)
  4. Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
    Papers, arXiv.org Downloads View citations (5)

2014

  1. CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
    Papers, arXiv.org Downloads View citations (3)
  2. Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
    Papers, arXiv.org Downloads View citations (3)

2013

  1. CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?
    Papers, arXiv.org Downloads View citations (1)
  2. Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
    Papers, arXiv.org Downloads View citations (14)

2012

  1. Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
    Papers, arXiv.org Downloads View citations (33)
  2. Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
    Papers, arXiv.org Downloads

2011

  1. Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
    Papers, arXiv.org Downloads View citations (30)
  2. Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
    Papers, arXiv.org Downloads View citations (31)

2010

  1. Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
    Papers, arXiv.org Downloads View citations (15)
  2. Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
    Papers, arXiv.org Downloads View citations (4)
  3. Interest-Rate Modeling with Multiple Yield Curves
    Papers, arXiv.org Downloads View citations (17)
  4. Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Quantitative Finance (2014)

2009

  1. Stressing rating criteria allowing for default clustering: the CPDO case
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2008

  1. Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
    Papers, arXiv.org Downloads View citations (3)

Journal Articles

2019

  1. Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement
    European Journal of Operational Research, 2019, 274, (2), 788-805 Downloads View citations (1)

2018

  1. Impact of multiple curve dynamics in credit valuation adjustments under collateralization
    Quantitative Finance, 2018, 18, (1), 31-44 Downloads
    See also Working Paper (2015)
  2. Rough volatility: Evidence from option prices
    IISE Transactions, 2018, 50, (9), 767-776 Downloads View citations (4)
    See also Working Paper (2017)

2017

  1. DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 1-27 Downloads View citations (1)

2015

  1. A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING
    International Journal of Theoretical and Applied Finance (IJTAF), 2015, 18, (02), 1-10 Downloads

2014

  1. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
    Mathematical Finance, 2014, 24, (1), 125-146 Downloads View citations (23)
  2. Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks
    Journal of Financial Engineering (JFE), 2014, 01, (01), 1-60 Downloads View citations (5)
  3. Parsimonious HJM modelling for multiple yield curve dynamics
    Quantitative Finance, 2014, 14, (2), 199-210 Downloads View citations (18)
    See also Working Paper (2010)

2013

  1. PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (02), 1-16 Downloads View citations (3)

2011

  1. ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (06), 773-802 Downloads View citations (5)

2007

  1. CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (04), 607-631 Downloads View citations (1)
 
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