3
H index
1
i10 index
40
Citations
Alessandro Gnoatto : Citation Profile
Università degli Studi di Verona | RESEARCH PRODUCTION: 6 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
6 years (2012 - 2018). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Alessandro Gnoatto. | Is cited by:
| Cites to:
|
Main data
Where Alessandro Gnoatto has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 10 |
Recent works citing Alessandro Gnoatto (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2018 | Efficient exposure computation by risk factor decomposition. (2018). , Cornelis ; Reisinger, Christoph ; KANDHAI, DRONA . In: Papers. RePEc:arx:papers:1608.01197. Full description at Econpapers || Download paper |
| 2017 | General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807. Full description at Econpapers || Download paper |
| 2017 | Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL. (2017). Kenyon, Chris ; Poncet, Benjamin ; Berrahoui, Mourad . In: Papers. RePEc:arx:papers:1710.03161. Full description at Econpapers || Download paper |
| 2018 | Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Papers. RePEc:arx:papers:1801.04994. Full description at Econpapers || Download paper |
| 2018 | Rational Models for Inflation-Linked Derivatives. (2018). Dam, Henrik ; Sloth, David ; Skovmand, David ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.08804. Full description at Econpapers || Download paper |
| 2018 | Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Eberlein, Ernst ; Grbac, Zorana ; Gerhart, Christoph. In: Papers. RePEc:arx:papers:1805.02605. Full description at Econpapers || Download paper |
| 2017 | Multivariate FX models with jumps: Triangles, Quantos and implied correlation. (2017). Rayée, Grégory ; Ballotta, Laura ; Rayee, Gregory ; Deelstra, Griselda . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199. Full description at Econpapers || Download paper |
| 2017 | Implications of implicit credit spread volatilities on interest rate modelling. (2017). Fanelli, Viviana . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:707-718. Full description at Econpapers || Download paper |
| 2017 | Interbank interest rates: Funding liquidity risk and XIBOR basis spreads. (2017). Gallitschke, Janek ; Seifried, Frank Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:142-152. Full description at Econpapers || Download paper |
| 2018 | Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics. (2018). Toczydlowska, Dorota ; Peters, Gareth W. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:34-:d:158660. Full description at Econpapers || Download paper |
| 2018 | Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969. Full description at Econpapers || Download paper |
| 2017 | A simple efficient approximation to price basket stock options with volatility smile. (2017). Wu, Ping ; Elliott, Robert J. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-017-0292-1. Full description at Econpapers || Download paper |
| 2018 | A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar, Marcos ; Gschnaidtner, Christoph. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8. Full description at Econpapers || Download paper |
| 2018 | Convexity adjustment for constant maturity swaps in a multi-curve framework. (2018). Karouzakis, Nikolaos ; Andriosopoulos, Kostas ; Hatgioannides, John. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2430-6. Full description at Econpapers || Download paper |
Works by Alessandro Gnoatto:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | The explicit Laplace transform for the Wishart process In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Smiles all around: FX joint calibration in a multi-Heston model In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Smiles all around: FX joint calibration in a multi-Heston model.(2013) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2012 | A flexible matrix Libor model with smiles In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2013 | A flexible matrix Libor model with smiles.(2013) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2014 | The Wishart short rate model In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | THE WISHART SHORT RATE MODEL.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2013 | An analytic multi-currency model with stochastic volatility and stochastic interest rates In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | A general HJM framework for multiple yield curve modeling In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2014 | A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2016 | A general HJM framework for multiple yield curve modelling.(2016) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
| 2016 | The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Affine multiple yield curve models In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds.(2016) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | General closed-form basket option pricing bounds In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2017 | COHERENT FOREIGN EXCHANGE MARKET MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 2th 2018. Contact: CitEc Team