Alessandro Gnoatto : Citation Profile

Are you Alessandro Gnoatto?

Università degli Studi di Verona

5

H index

4

i10 index

105

Citations

RESEARCH PRODUCTION:

8

Articles

17

Papers

RESEARCH ACTIVITY:

   9 years (2012 - 2021). See details.
   Cites by year: 11
   Journals where Alessandro Gnoatto has often published
   Relations with other researchers
   Recent citing documents: 28.    Total self citations: 16 (13.22 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgn28
   Updated: 2021-10-09    RAS profile: 2020-05-17    
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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:

Escobar Anel, Marcos (5)

Platen, Eckhard (3)

Itkin, Andrey (2)

Rayée, Grégory (2)

Baldeaux, Jan (1)

DA FONSECA, José (1)

Ballotta, Laura (1)

Pallavicini, Andrea (1)

Choi, Jaehyuk (1)

Lütkebohmert, Eva (1)

Brigo, Damiano (1)

Cites to:

DA FONSECA, José (19)

Pallavicini, Andrea (19)

Brigo, Damiano (19)

Tebaldi, Claudio (15)

Platen, Eckhard (14)

Ielpo, Florian (7)

Oosterlee, Cornelis (6)

Duffie, Darrell (5)

Weron, Rafał (5)

Scholes, Myron (5)

Christoffersen, Peter (4)

Main data

Where Alessandro Gnoatto has published?

Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org14

Recent works citing Alessandro Gnoatto (2021 and 2020)

YearTitle of citing document
2021Lévy interest rate models with a long memory. (2021). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021020.

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2020Rational 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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2021Pathwise 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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2020Bounds on Multi-asset Derivatives via Neural Networks. (2019). Bernard, Carole ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:1911.05523.

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2020Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine. In: Papers. RePEc:arx:papers:2004.07736.

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2020The Jarrow & Turnbull setting revisited. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2004.12392.

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2020A pure-jump mean-reverting short rate model. (2020). Hess, Markus. In: Papers. RePEc:arx:papers:2006.14814.

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2020Application of deep quantum neural networks to finance. (2020). Sakuma, Takayuki . In: Papers. RePEc:arx:papers:2011.07319.

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2021A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver. (2021). Takahashi, Akihiko ; Tsuchida, Yoshifumi ; Yamada, Toshihiro. In: Papers. RePEc:arx:papers:2101.09890.

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2021Defaultable term structures driven by semimartingales. (2021). Schmidt, Thorsten ; Gumbel, Sandrine. In: Papers. RePEc:arx:papers:2103.01577.

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2021No free lunch for markets with multiple num\eraires. (2021). Carassus, Laurence. In: Papers. RePEc:arx:papers:2107.12885.

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2021A 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.

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2020A 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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2021A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver. (2021). Tsuchida, Yoshifumi ; Takahashi, Akihiko ; Yamada, Toshihiro. In: CARF F-Series. RePEc:cfi:fseres:cf504.

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2020A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions. (2020). Nguyen, Duy ; Kirkby, Lars J. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:386:y:2020:i:c:s0096300320304318.

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2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

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2020A general control variate method for Lévy models in finance. (2020). Uenishi, Hiroki ; Shiraya, Kenichiro ; Yamazaki, Akira. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:1190-1200.

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2020Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78.

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2020Affine multivariate GARCH models. (2020). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2020Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:50-:d:361196.

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2020Testing for normality in any dimension based on a partial differential equation involving the moment generating function. (2020). Henze, Norbert ; Visagie, Jaco. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:5:d:10.1007_s10463-019-00720-8.

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2021On the application of Wishart process to the pricing of equity derivatives: the multi-asset case. (2021). Marazzina, Daniele ; Bua, Gaetano. In: Computational Management Science. RePEc:spr:comgts:v:18:y:2021:i:2:d:10.1007_s10287-021-00388-7.

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2020Term structure modelling for multiple curves with stochastic discontinuities. (2020). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5.

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2021Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility. (2021). Tsuchida, Yoshifumi ; Takahashi, Akihiko ; Yamada, Toshihiro. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1159.

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2020On Using Equities to Produce Pension Payouts. (2020). Baroneadesi, Giovanni ; Sala, Carlo ; Platen, Eckhard. In: Research Paper Series. RePEc:uts:rpaper:413.

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2020Cross Currency Valuation and Hedging in the Multiple Curve Framework. (2020). Seiffert, Nicole ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:03/2020.

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2020Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020.

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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]		paper19
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: 19		article
2012A flexible matrix Libor model with smiles In: Papers.
[Full Text][Citation analysis]		paper6
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: 6		article
2014The Wishart short rate model In: Papers.
[Full Text][Citation analysis]		paper2
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: 2		article
2013An analytic multi-currency model with stochastic volatility and stochastic interest rates In: Papers.
[Full Text][Citation analysis]		paper4
2015Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield In: Papers.
[Full Text][Citation analysis]		paper2
2015A general HJM framework for multiple yield curve modeling In: Papers.
[Full Text][Citation analysis]		paper28
2014A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 28		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: 28		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]		paper13
2019Affine multiple yield curve models.(2019) In: Mathematical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
2018A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers.
[Full Text][Citation analysis]		paper4
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: 4		paper
2021A unified approach to xVA with CSA discounting and initial margin In: Papers.
[Full Text][Citation analysis]		paper0
2020Multiple yield curve modelling with CBI processes In: Papers.
[Full Text][Citation analysis]		paper1
2021Cross Currency Valuation and Hedging in the Multiple Curve Framework In: Papers.
[Full Text][Citation analysis]		paper1
2020Deep xVA solver -- A neural network based counterparty credit risk management framework In: Papers.
[Full Text][Citation analysis]		paper4
2016General closed-form basket option pricing bounds In: Quantitative Finance.
[Full Text][Citation analysis]		article17
2019Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin In: Working Papers.
[Full Text][Citation analysis]		paper2
2017COHERENT FOREIGN EXCHANGE MARKET MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0
2020GENERAL ANALYSIS OF LONG-TERM INTEREST RATES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0

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