10
H index
10
i10 index
409
Citations
Andrea Pallavicini : Citation Profile
| RESEARCH PRODUCTION: 15 Articles 31 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2007 - 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 Andrea Pallavicini. | Is cited by:
| Cites to:
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Main data
Where Andrea Pallavicini has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Theoretical and Applied Finance (IJTAF) | 6 |
| Quantitative Finance | 3 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 30 |
Recent works citing Andrea Pallavicini (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078. Full description at Econpapers || Download paper |
| 2023 | Optimal Stopping via Randomized Neural Networks. (2021). Herrera, Calypso ; Teichmann, Josef ; Ruyssen, Pierre ; Krach, Florian. In: Papers. RePEc:arx:papers:2104.13669. Full description at Econpapers || Download paper |
| 2023 | No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746. Full description at Econpapers || Download paper |
| 2023 | Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (2022). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2209.12222. Full description at Econpapers || Download paper |
| 2024 | Statistical inference for rough volatility: Minimax Theory. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214. Full description at Econpapers || Download paper |
| 2023 | Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216. Full description at Econpapers || Download paper |
| 2023 | Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2305.16434. Full description at Econpapers || Download paper |
| 2023 | Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model. (2023). Bianchi, Sergio ; Angelini, Daniele. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:172:y:2023:i:c:s0960077923004514. Full description at Econpapers || Download paper |
| 2023 | Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process. (2023). Yu, Jun ; Xiao, Weilin ; Wang, Xiaohu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:389-415. 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 | . Full description at Econpapers || Download paper |
Works by Andrea Pallavicini:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Default correlation, cluster dynamics and single names: The GPCL dynamical loss model In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2010 | Credit models and the crisis, or: how I learned to stop worrying and love the CDOs In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Interest-Rate Modeling with Multiple Yield Curves In: Papers. [Full Text][Citation analysis] | paper | 16 |
| 2010 | Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics In: Papers. [Full Text][Citation analysis] | paper | 31 |
| 2014 | Parsimonious HJM modelling for multiple yield curve dynamics.(2014) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2011 | Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers. [Full Text][Citation analysis] | paper | 35 |
| 2011 | Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers. [Full Text][Citation analysis] | paper | 37 |
| 2012 | Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers. [Full Text][Citation analysis] | paper | 36 |
| 2013 | Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Impact of multiple curve dynamics in credit valuation adjustments under collateralization.(2018) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2015 | FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | A backward Monte Carlo approach to exotic option pricing In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Rough volatility: evidence from option prices In: Papers. [Full Text][Citation analysis] | paper | 47 |
| 2018 | Rough volatility: Evidence from option prices.(2018) In: IISE Transactions. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | article | |
| 2017 | An indifference approach to the cost of capital constraints: KVA and beyond In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Quantization goes Polynomial In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Quantization goes polynomial.(2021) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2020 | Smile Modelling in Commodity Markets In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2020 | SMILE MODELING IN COMMODITY MARKETS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2019 | On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | On the consistency of jump-diffusion dynamics for FX rates under inversion.(2020) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2019 | Funding Adjustments in Equity Linear Products In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Pricing commodity swing options In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | A general framework for a joint calibration of VIX and VXX options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Interpretability in deep learning for finance: a case study for the Heston model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Chebyshev Greeks: Smoothing Gamma without Bias In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Interpolating commodity futures prices with Kriging In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Reinforcement learning for options on target volatility funds In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance. [Full Text][Citation analysis] | article | 56 |
| 2019 | Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 9 |
| In: . [Full Text][Citation analysis] | article | 1 | |
| 2009 | Stressing rating criteria allowing for default clustering: the CPDO case In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 5 |
| 2007 | CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES.(2007) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | chapter | |
| 2011 | ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 20 |
| 2013 | PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 6 |
| 2015 | A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
| 2017 | DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 3 |
| 2014 | Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] | article | 38 |
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