6
H index
5
i10 index
144
Citations
Alessandro Gnoatto : Citation Profile
Università degli Studi di Verona | RESEARCH PRODUCTION: 10 Articles 28 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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10 years (2012 - 2022). 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:
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Main data
Where Alessandro Gnoatto has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 18 |
| Working Papers / University of Verona, Department of Economics | 8 |
Recent works citing Alessandro Gnoatto (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | A note on closed-form spread option valuation under log-normal models. (2021). Sayit, Hasanjan ; Abudurexiti, Nuerxiati ; Hu, Dongdong ; He, Kai. In: Papers. RePEc:arx:papers:2109.05431. Full description at Econpapers || Download paper |
| 2023 | Caplet pricing in affine models for risk-free rates. (2022). Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.09116. Full description at Econpapers || Download paper |
| 2023 | Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers || Download paper |
| 2024 | Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026. Full description at Econpapers || Download paper |
| 2023 | A stochastic control perspective on term structure models with roll-over risk. (2023). Runggaldier, Wolfgang J ; Pavarana, Simone ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2304.04453. Full description at Econpapers || Download paper |
| 2023 | Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307. Full description at Econpapers || Download paper |
| 2023 | A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251. Full description at Econpapers || Download paper |
| 2023 | Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling. (2023). Cummins, Mark ; Atkins, Philip J. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1331-1348. Full description at Econpapers || Download paper |
| 2023 | XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Vazquez, Carlos ; Simonella, Roberta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79. Full description at Econpapers || Download paper |
| 2023 | No free lunch for markets with multiple numéraires. (2023). Carassus, Laurence. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:104:y:2023:i:c:s0304406822001318. Full description at Econpapers || Download paper |
| 2023 | CBI-time-changed Lévy processes. (2023). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:323-349. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Pathwise CVA Regressions With Oversimulated Defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbas-Turki, Lokman A. In: Post-Print. RePEc:hal:journl:hal-03910149. Full description at Econpapers || Download paper |
| 2023 | Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (2023). Zhang, Yumo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00374-x. Full description at Econpapers || Download paper |
| 2023 | A stochastic control perspective on term structure models with roll-over risk. (2023). Pavarana, Simone ; Fontana, Claudio ; Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00515-z. 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 | 21 |
| 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 nother version. Agregated cites: 21 | 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 nother version. Agregated cites: 6 | article | |
| 2014 | The Wishart short rate model In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2012 | THE WISHART SHORT RATE MODEL.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2013 | An analytic multi-currency model with stochastic volatility and stochastic interest rates In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | A general HJM framework for multiple yield curve modeling In: Papers. [Full Text][Citation analysis] | paper | 36 |
| 2014 | A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2016 | A general HJM framework for multiple yield curve modelling.(2016) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2019 | 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 | 17 |
| 2019 | Affine multiple yield curve models.(2019) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2018 | A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 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 nother version. Agregated cites: 4 | paper | |
| 2021 | A unified approach to xVA with CSA discounting and initial margin In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Multiple yield curve modelling with CBI processes In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Multiple Yield Curve Modelling with CBI Processes.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Cross Currency Valuation and Hedging in the Multiple Curve Framework In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Cross Currency Valuation and Hedging in the Multiple Curve Framework.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Deep xVA solver -- A neural network based counterparty credit risk management framework In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2020 | Deep xVA solver - A neural network based counterparty credit risk management framework.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2021 | A Fully Quantization-based Scheme for FBSDEs In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | A Fully Quantization-based Scheme for FBSDEs.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | A change of measure formula for recursive conditional expectations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | CBI-time-changed L\evy processes for multi-currency modeling In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | CBI-time-changed Lévy processes for multi-currency modeling.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2022 | A deep solver for BSDEs with jumps In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Calibration to FX triangles of the 4/2 model under the benchmark approach In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2021 | Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | General closed-form basket option pricing bounds In: Quantitative Finance. [Full Text][Citation analysis] | article | 20 |
| 2022 | Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | CBI-time-changed Lévy processes In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | COHERENT FOREIGN EXCHANGE MARKET MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2020 | GENERAL ANALYSIS OF LONG-TERM INTEREST RATES 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 March, 4 2024. Contact: CitEc Team