9
H index
9
i10 index
256
Citations
| 9 H index 9 i10 index 256 Citations RESEARCH PRODUCTION: 12 Articles 26 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 Andrea Pallavicini. | 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) | 6 |
Quantitative Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Papers / arXiv.org | 25 |
Year | Title of citing document |
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2020 | A Binary Nature of Funding Impacts in Bilateral Contracts. (2018). Lee, Junbeom ; Zhou, Chao. In: Papers. RePEc:arx:papers:1703.00259. Full description at Econpapers || Download paper |
2020 | Robust XVA. (2019). Sturm, Stephan ; Capponi, Agostino ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1808.04908. Full description at Econpapers || Download paper |
2021 | From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers || Download paper |
2020 | Cross Currency Valuation and Hedging in the Multiple Curve Framework. (2020). Seiffert, Nicole ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2001.11012. Full description at Econpapers || Download paper |
2020 | Derivatives Discounting Explained. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08532. Full description at Econpapers || Download paper |
2020 | Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633. Full description at Econpapers || Download paper |
2020 | A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting. (2020). Oosterlee, C W ; Grzelak, L A ; van der Zwaard, T. In: Papers. RePEc:arx:papers:2005.10504. Full description at Econpapers || Download paper |
2020 | Generalisation of Fractional-Cox-Ingersoll-Ross Process. (2020). Mulaudzi, Mmboniseni ; Mukeru, Safari ; Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2008.07798. Full description at Econpapers || Download paper |
2020 | XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368. Full description at Econpapers || Download paper |
2020 | Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557. Full description at Econpapers || Download paper |
2020 | The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool. (2020). Brandi, Giuseppe ; Antoniades, Ioannis P ; di Matteo, T ; Magafas, L G. In: Papers. RePEc:arx:papers:2010.08890. Full description at Econpapers || Download paper |
2020 | Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113. Full description at Econpapers || Download paper |
2020 | A general framework for a joint calibration of VIX and VXX options. (2020). Mazzoran, Andrea ; Grasselli, Martino ; Pallavicini, Andrea. In: Papers. RePEc:arx:papers:2012.08353. Full description at Econpapers || Download paper |
2021 | Solving optimal stopping problems with Deep Q-Learning. (2021). Ery, John ; Michel, Loris. In: Papers. RePEc:arx:papers:2101.09682. Full description at Econpapers || Download paper |
2021 | Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962. Full description at Econpapers || Download paper |
2021 | A deep learning model for gas storage optimization. (2021). Kleisinger-Yu, XI ; Curin, Nicolas ; Komaric, Vlatka ; Teichmann, Josef ; Kettler, Michael ; Wutte, Hanna ; Krabichler, Thomas. In: Papers. RePEc:arx:papers:2102.01980. Full description at Econpapers || Download paper |
2020 | Robust XVA. (2020). Sturm, Stephan ; Capponi, Agostino ; Bichuch, Maxim. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:738-781. Full description at Econpapers || Download paper |
2020 | Noâ€arbitrage implies powerâ€law market impact and rough volatility. (2020). Rosenbaum, Mathieu ; Jusselin, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1309-1336. Full description at Econpapers || Download paper |
2021 | A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting. (2021). Oosterlee, Cornelis W ; Grzelak, Lech A ; van der Zwaard, Thomas. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:391:y:2021:i:c:s009630032030624x. Full description at Econpapers || Download paper |
2020 | A consistent stochastic model of the term structure of interest rates for multiple tenors. (2020). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312. Full description at Econpapers || Download paper |
2020 | Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x. Full description at Econpapers || Download paper |
2020 | Rough stochastic elasticity of variance and option pricing. (2020). Zhang, Wenjun ; Kim, See-Woo ; Cao, Jiling. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612319308050. 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 |
2021 | Combined multiplicative–Heston model for stochastic volatility. (2021). Serota, R A ; Moghaddam, Dashti M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:561:y:2021:i:c:s0378437120306671. Full description at Econpapers || Download paper |
2021 | The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool. (2021). Brandi, Giuseppe ; Antoniades, I P ; di Matteo, T ; Magafas, L. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:565:y:2021:i:c:s0378437120308591. Full description at Econpapers || Download paper |
2020 | The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing. (2020). Arismendi Zambrano, Juan ; Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, J C. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n306-20.pdf. Full description at Econpapers || Download paper |
2020 | Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z. 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 |
2020 | A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00260-7. Full description at Econpapers || Download paper |
2020 | Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Discussion Paper. RePEc:tiu:tiucen:1f3bd844-92ab-4104-8f57-9e18c384bd2b. Full description at Econpapers || Download paper |
2020 | Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Other publications TiSEM. RePEc:tiu:tiutis:1f3bd844-92ab-4104-8f57-9e18c384bd2b. 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 |
2020 | Analytical valuation of Asian options with counterparty risk under stochastic volatility models. (2020). Wang, Xingchun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:410-429. Full description at Econpapers || Download paper |
2020 | xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT. (2020). Zhang, Dawei ; Wu, Lixin. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:01:n:s0219024920500065. Full description at Econpapers || Download paper |
2020 | CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS. (2020). Jeanblanc, Monique ; Gapeev, Pavel V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500107. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 13 |
2010 | Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics In: Papers. [Full Text][Citation analysis] | paper | 25 |
2014 | Parsimonious HJM modelling for multiple yield curve dynamics.(2014) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2011 | Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers. [Full Text][Citation analysis] | paper | 28 |
2011 | Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers. [Full Text][Citation analysis] | paper | 30 |
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 | 0 |
2012 | Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers. [Full Text][Citation analysis] | paper | 26 |
2013 | Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers. [Full Text][Citation analysis] | paper | 8 |
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 | 0 |
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 | 2 |
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 another 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 | 18 |
2018 | Rough volatility: Evidence from option prices.(2018) In: IISE Transactions. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | 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 |
2018 | Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers. [Full Text][Citation analysis] | paper | 5 |
2020 | Smile Modelling in Commodity Markets In: Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | SMILE MODELING IN COMMODITY MARKETS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2019 | On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Funding Adjustments in Equity Linear Products In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | Pricing commodity swing options In: Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance. [Full Text][Citation analysis] | article | 33 |
2019 | Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
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 | 1 |
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 | 9 |
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 | 4 |
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 | 12 |
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