Alessandro Gnoatto : Citation Profile

Are you Alessandro Gnoatto?

Università degli Studi di Verona

5

H index

3

i10 index

70

Citations

RESEARCH PRODUCTION:

6

Articles

12

Papers

RESEARCH ACTIVITY:

   6 years (2012 - 2018). See details.
   Cites by year: 11
   Journals where Alessandro Gnoatto has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 12 (14.63 %)

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   Permalink: http://citec.repec.org/pgn28
   Updated: 2019-11-16    RAS profile: 2018-06-01    
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Relations with other researchers

Works with:

Platen, Eckhard (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Alessandro Gnoatto.

Is cited by:

Platen, Eckhard (2)

Rayée, Grégory (2)

Baldeaux, Jan (1)

Brigo, Damiano (1)

Chiarella, Carl (1)

Ballotta, Laura (1)

Guarín López, Alexander (1)

Pallavicini, Andrea (1)

DA FONSECA, José (1)

Cites to:

DA FONSECA, José (19)

Tebaldi, Claudio (15)

Platen, Eckhard (13)

Ielpo, Florian (7)

Schleicher, Christoph (6)

Salmon, Mark (6)

Weron, Rafał (5)

Scholes, Myron (5)

gourieroux, christian (4)

Christoffersen, Peter (4)

Brigo, Damiano (4)

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.org10

Recent works citing Alessandro Gnoatto (2019 and 2018)

YearTitle of citing document
2018Efficient exposure computation by risk factor decomposition. (2018). , Cornelis ; Reisinger, Christoph ; Kandhai, Drona. In: Papers. RePEc:arx:papers:1608.01197.

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2017General Price Bounds for Guaranteed Annuity Options. (2017). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1707.00807.

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2018Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL. (2018). Poncet, Benjamin ; Berrahoui, Mourad ; Kenyon, Chris. In: Papers. RePEc:arx:papers:1710.03161.

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2018Consistent Valuation Across Curves Using Pricing Kernels. (2018). Mahomed, Obeid ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.04994.

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2018Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804.

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2018Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Grbac, Zorana ; Gerhart, Christoph ; Eberlein, Ernst. In: Papers. RePEc:arx:papers:1805.02605.

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2018A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2018). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Papers. RePEc:arx:papers:1809.06643.

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2019Term structure modeling for multiple curves with stochastic discontinuities. (2019). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1810.09882.

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2019Pathwise volatility: Cox-Ingersoll-Ross initial-value problems and their fast reversion exit-time limits. (2019). McCrickerd, Ryan . In: Papers. RePEc:arx:papers:1902.01673.

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2019Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method. (2019). Itkin, Andrey ; Soleymani, Fazlollah. In: Papers. RePEc:arx:papers:1903.00937.

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2019Affine realizations with affine state processes for stochastic partial differential equations. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.00336.

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2017THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL. (2017). Grasselli, Martino. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:1013-1034.

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2018A note on the long rate in factor models of the term structure. (2018). de Kort, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:2:p:656-667.

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2019Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:568-611.

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2019A General Control Variate Method for L´evy Models in Finance. (2019). Yamazaki, Akira ; Uenishi, Hiroki ; Shiraya, Kenichiro. In: CARF F-Series. RePEc:cfi:fseres:cf455.

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2017Multivariate 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.

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2017Implications 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.

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2017Interbank 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.

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2018Financial 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.

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2018Consistent 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.

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2019Dynamic portfolio strategies under a fully correlated jump-diffusion process. (2019). Moreno-Franco, Harold A ; Escobar-Anel, Marcos. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00350-3.

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2019Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics. (2019). Zhu, Shunwei ; Wang, BO. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9815-8.

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2019Developing a Risk-Based Approach for American Basket Option Pricing. (2019). Hajizadeh, Ehsan ; Mahootchi, Masoud. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9826-5.

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2018A 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.

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2018Convexity 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.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:128-146.

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2018LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500147.

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2018Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan ; Mi, Yanhui. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500238.

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Works by Alessandro Gnoatto:

YearTitleTypeCited
2013The explicit Laplace transform for the Wishart process In: Papers.
[Full Text][Citation analysis]		paper2
2013Smiles all around: FX joint calibration in a multi-Heston model In: Papers.
[Full Text][Citation analysis]		paper15
2013Smiles 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: 15		article
2012A flexible matrix Libor model with smiles In: Papers.
[Full Text][Citation analysis]		paper7
2013A 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: 7		article
2014The Wishart short rate model In: Papers.
[Full Text][Citation analysis]		paper3
2012THE 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: 3		article
2013An analytic multi-currency model with stochastic volatility and stochastic interest rates In: Papers.
[Full Text][Citation analysis]		paper3
2015Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield In: Papers.
[Full Text][Citation analysis]		paper3
2015A general HJM framework for multiple yield curve modeling In: Papers.
[Full Text][Citation analysis]		paper19
2014A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 19		paper
2016A general HJM framework for multiple yield curve modelling.(2016) In: Finance and Stochastics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		article
2019The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates In: Papers.
[Full Text][Citation analysis]		paper0
2017Affine multiple yield curve models In: Papers.
[Full Text][Citation analysis]		paper6
2018A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers.
[Full Text][Citation analysis]		paper2
2016A 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: 2		paper
2016General closed-form basket option pricing bounds In: Quantitative Finance.
[Full Text][Citation analysis]		article10
2017COHERENT FOREIGN EXCHANGE MARKET MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0

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