Details about Andrea Pallavicini

Access statistics for papers by Andrea Pallavicini.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: ppa573

Working Papers

2024

1. Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices
   Papers, arXiv.org

2023

2. Machine learning methods for American-style path-dependent contracts
   Papers, arXiv.org

2022

3. Interpolating commodity futures prices with Kriging
   Papers, arXiv.org
4. Pricing commodity index options
   Papers, arXiv.org View citations (1)
   See also Journal Article Pricing commodity index options, Quantitative Finance, Taylor & Francis Journals (2023) (2023)
5. Rough-Heston Local-Volatility Model
   Papers, arXiv.org
   See also Journal Article ROUGH-HESTON LOCAL-VOLATILITY MODEL, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2023) (2023)

2021

6. A general framework for a joint calibration of VIX and VXX options
   Papers, arXiv.org
   See also Journal Article A general framework for a joint calibration of VIX and VXX options, Annals of Operations Research, Springer (2024) (2024)
7. Chebyshev Greeks: Smoothing Gamma without Bias
   Papers, arXiv.org View citations (3)
8. Interpretability in deep learning for finance: a case study for the Heston model
   Papers, arXiv.org View citations (1)
9. Reinforcement learning for options on target volatility funds
   Papers, arXiv.org

2020

10. Pricing commodity swing options
    Papers, arXiv.org View citations (4)
11. Smile Modelling in Commodity Markets
    Papers, arXiv.org View citations (3)
    See also Journal Article SMILE MODELING IN COMMODITY MARKETS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2020) View citations (2) (2020)

2019

12. Funding Adjustments in Equity Linear Products
    Papers, arXiv.org View citations (2)
13. On the consistency of jump-diffusion dynamics for FX rates under inversion
    Papers, arXiv.org
    See also Journal Article On the consistency of jump-diffusion dynamics for FX rates under inversion, International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd. (2020) View citations (2) (2020)
14. Quantization goes Polynomial
    Papers, arXiv.org
    See also Journal Article Quantization goes polynomial, Quantitative Finance, Taylor & Francis Journals (2021) (2021)

2018

15. Risk-neutral valuation under differential funding costs, defaults and collateralization
    Papers, arXiv.org View citations (9)

2017

16. An indifference approach to the cost of capital constraints: KVA and beyond
    Papers, arXiv.org View citations (1)
17. Rough volatility: evidence from option prices
    Papers, arXiv.org View citations (2)
    See also Journal Article Rough volatility: Evidence from option prices, IISE Transactions, Taylor & Francis Journals (2018) View citations (52) (2018)

2015

18. A backward Monte Carlo approach to exotic option pricing
    Papers, arXiv.org View citations (1)
19. FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
    Papers, arXiv.org View citations (1)
20. Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
    Papers, arXiv.org View citations (1)
    See also Journal Article Impact of multiple curve dynamics in credit valuation adjustments under collateralization, Quantitative Finance, Taylor & Francis Journals (2018) View citations (2) (2018)
21. Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
    Papers, arXiv.org View citations (8)

2014

22. CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
    Papers, arXiv.org View citations (3)
23. Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
    Papers, arXiv.org View citations (5)

2013

24. 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 View citations (3)
25. Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
    Papers, arXiv.org View citations (15)

2012

26. Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
    Papers, arXiv.org View citations (48)
27. Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
    Papers, arXiv.org View citations (2)

2011

28. Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
    Papers, arXiv.org View citations (40)
29. Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
    Papers, arXiv.org View citations (47)

2010

30. Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
    Papers, arXiv.org View citations (15)
31. Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
    Papers, arXiv.org View citations (4)
32. Interest-Rate Modeling with Multiple Yield Curves
    Papers, arXiv.org View citations (21)
33. Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
    Papers, arXiv.org View citations (6)
    See also Journal Article Parsimonious HJM modelling for multiple yield curve dynamics, Quantitative Finance, Taylor & Francis Journals (2014) View citations (30) (2014)

2009

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

2008

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

Journal Articles

2024

1. A general framework for a joint calibration of VIX and VXX options
   Annals of Operations Research, 2024, 336, (1), 3-26
   See also Working Paper A general framework for a joint calibration of VIX and VXX options, Papers (2021) (2021)

2023

2. Pricing commodity index options
   Quantitative Finance, 2023, 23, (2), 297-308
   See also Working Paper Pricing commodity index options, Papers (2022) View citations (1) (2022)
3. ROUGH-HESTON LOCAL-VOLATILITY MODEL
   International Journal of Theoretical and Applied Finance (IJTAF), 2023, 26, (06n07), 1-18
   See also Working Paper Rough-Heston Local-Volatility Model, Papers (2022) (2022)

2022

4. Nonlinear Valuation with XVAs: Two Converging Approaches
   Mathematics, 2022, 10, (5), 1-31 View citations (1)

2021

5. Quantization goes polynomial
   Quantitative Finance, 2021, 21, (3), 361-376
   See also Working Paper Quantization goes Polynomial, Papers (2019) (2019)

2020

6. On the consistency of jump-diffusion dynamics for FX rates under inversion
   International Journal of Financial Engineering (IJFE), 2020, 07, (04), 1-17 View citations (2)
   See also Working Paper On the consistency of jump-diffusion dynamics for FX rates under inversion, Papers (2019) (2019)
7. SMILE MODELING IN COMMODITY MARKETS
   International Journal of Theoretical and Applied Finance (IJTAF), 2020, 23, (03), 1-28 View citations (2)
   See also Working Paper Smile Modelling in Commodity Markets, Papers (2020) View citations (3) (2020)

2019

8. Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement
   European Journal of Operational Research, 2019, 274, (2), 788-805 View citations (11)

2018

9. Impact of multiple curve dynamics in credit valuation adjustments under collateralization
   Quantitative Finance, 2018, 18, (1), 31-44 View citations (2)
   See also Working Paper Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization, Papers (2015) View citations (1) (2015)
10. Rough volatility: Evidence from option prices
    IISE Transactions, 2018, 50, (9), 767-776 View citations (52)
    See also Working Paper Rough volatility: evidence from option prices, Papers (2017) View citations (2) (2017)

2017

11. DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 1-27 View citations (5)

2015

12. 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 View citations (2)

2014

13. ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
    Mathematical Finance, 2014, 24, (1), 125-146 View citations (61)
14. 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 View citations (46)
15. Parsimonious HJM modelling for multiple yield curve dynamics
    Quantitative Finance, 2014, 14, (2), 199-210 View citations (30)
    See also Working Paper Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics, Papers (2010) View citations (6) (2010)

2013

16. 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 View citations (9)

2011

17. 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 View citations (23)
18. Credit models and the crisis: An overview
    Journal of Risk Management in Financial Institutions, 2011, 4, (3), 243-253

2009

19. Risk-neutral versus objective loss distribution and CDO tranche valuation
    Journal of Risk Management in Financial Institutions, 2009, 2, (2), 175-192

2007

20. 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 View citations (5)
    See also Chapter CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES, World Scientific Book Chapters, 2007, 15-39 (2007) View citations (5) (2007)

Chapters

2007

1. CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES
   Chapter 2 in Credit Correlation Life After Copulas, 2007, pp 15-39 View citations (5)
   See also Journal Article CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES, World Scientific Publishing Co. Pte. Ltd. (2007) View citations (5) (2007)