Alessandro Gnoatto : Citation Profile


Are you Alessandro Gnoatto?

Università degli Studi di Verona

3

H index

2

i10 index

42

Citations

RESEARCH PRODUCTION:

6

Articles

12

Papers

RESEARCH ACTIVITY:

   6 years (2012 - 2018). See details.
   Cites by year: 7
   Journals where Alessandro Gnoatto has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 11 (20.75 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgn28
   Updated: 2018-10-13    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:

Rayée, Grégory (2)

Platen, Eckhard (2)

Pallavicini, Andrea (1)

Baldeaux, Jan (1)

DA FONSECA, José (1)

Brigo, Damiano (1)

Ballotta, Laura (1)

Chiarella, Carl (1)

Guarín López, Alexander (1)

Cites to:

DA FONSECA, José (14)

Tebaldi, Claudio (13)

Platen, Eckhard (12)

Ielpo, Florian (7)

Salmon, Mark (6)

Schleicher, Christoph (6)

Weron, Rafał (5)

Brigo, Damiano (4)

Pallavicini, Andrea (4)

gourieroux, christian (4)

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)2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10

Recent works citing Alessandro Gnoatto (2018 and 2017)


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). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807.

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2017Counterparty 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.

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

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

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2018Multiple 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.

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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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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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2017A 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.

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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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Works by Alessandro Gnoatto:


YearTitleTypeCited
2013The explicit Laplace transform for the Wishart process In: Papers.
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paper2
2013Smiles all around: FX joint calibration in a multi-Heston model In: Papers.
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paper10
2013Smiles all around: FX joint calibration in a multi-Heston model.(2013) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 10
article
2012A flexible matrix Libor model with smiles In: Papers.
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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.
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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.
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paper1
2015Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield In: Papers.
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paper1
2015A general HJM framework for multiple yield curve modeling In: Papers.
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paper14
2014A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 14
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: 14
article
2016The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates In: Papers.
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paper0
2017Affine multiple yield curve models In: Papers.
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paper2
2018A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers.
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paper1
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: 1
paper
2016General closed-form basket option pricing bounds In: Quantitative Finance.
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article3
2017COHERENT FOREIGN EXCHANGE MARKET MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

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