5
H index
4
i10 index
100
Citations
Università degli Studi di Verona | 5 H index 4 i10 index 100 Citations RESEARCH PRODUCTION: 8 Articles 17 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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International Journal of Theoretical and Applied Finance (IJTAF) | 3 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 14 |
Year | Title of citing document |
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2020 | Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804. Full description at Econpapers || Download paper |
2020 | Bounds on Multi-asset Derivatives via Neural Networks. (2019). Bernard, Carole ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:1911.05523. Full description at Econpapers || Download paper |
2020 | Machine 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. Full description at Econpapers || Download paper |
2020 | The Jarrow & Turnbull setting revisited. (2020). Teichmann, Josef ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2004.12392. Full description at Econpapers || Download paper |
2020 | A pure-jump mean-reverting short rate model. (2020). Hess, Markus. In: Papers. RePEc:arx:papers:2006.14814. Full description at Econpapers || Download paper |
2020 | Application of deep quantum neural networks to finance. (2020). Sakuma, Takayuki . In: Papers. RePEc:arx:papers:2011.07319. Full description at Econpapers || Download paper |
2021 | A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver. (2021). Yamada, Toshihiro ; Takahashi, Akihiko ; Tsuchida, Yoshifumi. In: Papers. RePEc:arx:papers:2101.09890. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2021 | A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver. (2021). Yamada, Toshihiro ; Tsuchida, Yoshifumi ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf504. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Optimal 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. Full description at Econpapers || Download paper |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Empirical 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. Full description at Econpapers || Download paper |
2020 | Affine 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. Full description at Econpapers || Download paper |
2021 | International 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. Full description at Econpapers || Download paper |
2020 | Machine 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. Full description at Econpapers || Download paper |
2020 | Testing 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. Full description at Econpapers || Download paper |
2020 | Term 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. Full description at Econpapers || Download paper |
2021 | Dynamic Factor, Leverage and Realized Covariances in Multivariate Stochastic Volatility. (2021). Yamada, Toshihiro ; Tsuchida, Yoshifumi ; Takahashi, Akihiko. In: CIRJE F-Series. RePEc:tky:fseres:2021cf1159. Full description at Econpapers || Download paper |
2020 | On Using Equities to Produce Pension Payouts. (2020). Sala, Carlo ; Platen, Eckhard ; Baroneadesi, Giovanni. In: Research Paper Series. RePEc:uts:rpaper:413. Full description at Econpapers || Download paper |
2020 | Cross Currency Valuation and Hedging in the Multiple Curve Framework. (2020). Seiffert, Nicole ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:03/2020. Full description at Econpapers || Download paper |
2020 | Deep 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 19 |
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: 19 | 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 | 4 |
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 | 26 |
2014 | A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 26 | 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: 26 | 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 | 13 |
2019 | Affine multiple yield curve models.(2019) In: Mathematical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | 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 another version. Agregated cites: 4 | paper | |
2020 | Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Multiple yield curve modelling with CBI processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Cross Currency Valuation and Hedging in the Multiple Curve Framework In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Deep xVA solver -- A neural network based counterparty credit risk management framework In: Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | General closed-form basket option pricing bounds In: Quantitative Finance. [Full Text][Citation analysis] | article | 15 |
2019 | Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
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 November, 2 2021. Contact: CitEc Team