Andrea Pallavicini : Citation Profile


Are you Andrea Pallavicini?

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H index

9

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256

Citations

RESEARCH PRODUCTION:

12

Articles

26

Papers

RESEARCH ACTIVITY:

   13 years (2007 - 2020). See details.
   Cites by year: 19
   Journals where Andrea Pallavicini has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 18 (6.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa573
   Updated: 2021-03-01    RAS profile: 2020-09-07    
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Relations with other researchers


Works with:

Brigo, Damiano (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrea Pallavicini.

Is cited by:

Gnoatto, Alessandro (22)

Brigo, Damiano (20)

Vrins, Frédéric (5)

Wang, Xingchun (4)

Oertel, Frank (4)

Oosterlee, Cornelis (4)

Rulliere, Didier (3)

Blake, David (3)

vanini, paolo (2)

Schlogl, Erik (2)

Berndsen, Ron (2)

Cites to:

Brigo, Damiano (60)

Duffie, Darrell (6)

Henrard, Marc (6)

Fries, Christian (5)

Tapking, Jens (4)

HUANG, MING (4)

Eisenschmidt, Jens (4)

Packer, Frank (4)

merton, robert (3)

Blake, David (2)

Biffis, Enrico (2)

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 Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org25

Recent works citing Andrea Pallavicini (2021 and 2020)


YearTitle of citing document
2020A Binary Nature of Funding Impacts in Bilateral Contracts. (2018). Lee, Junbeom ; Zhou, Chao. In: Papers. RePEc:arx:papers:1703.00259.

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2020Robust XVA. (2019). Sturm, Stephan ; Capponi, Agostino ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1808.04908.

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2021From 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.

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2020Cross Currency Valuation and Hedging in the Multiple Curve Framework. (2020). Seiffert, Nicole ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2001.11012.

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2020Derivatives Discounting Explained. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08532.

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2020Deep 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.

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2020A 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.

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2020Generalisation of Fractional-Cox-Ingersoll-Ross Process. (2020). Mulaudzi, Mmboniseni ; Mukeru, Safari ; Mpanda, Marc Mukendi. In: Papers. RePEc:arx:papers:2008.07798.

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2020XVA Analysis From the Balance Sheet. (2020). Saadeddine, Bouazza ; Hoskinson, Rodney ; Crepey, Stephane ; Albanese, Claudio. In: Papers. RePEc:arx:papers:2009.00368.

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2020Rough Heston: the SINC way. (2020). Rossi, Pietro ; Romagnoli, Silvia ; Bormetti, Giacomo ; Baschetti, Fabio. In: Papers. RePEc:arx:papers:2009.00557.

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2020The 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.

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2020Price Impact on Term Structure. (2020). Neuman, Eyal ; Graceffa, Federico ; Brigo, Damiano. In: Papers. RePEc:arx:papers:2011.10113.

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2020A 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.

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2021Solving optimal stopping problems with Deep Q-Learning. (2021). Ery, John ; Michel, Loris. In: Papers. RePEc:arx:papers:2101.09682.

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2021Deep Hedging under Rough Volatility. (2021). Zuric, Zan ; Teichmann, Josef ; Horvath, Blanka. In: Papers. RePEc:arx:papers:2102.01962.

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2021A 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.

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2020Robust XVA. (2020). Sturm, Stephan ; Capponi, Agostino ; Bichuch, Maxim. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:738-781.

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2020No‐arbitrage implies power‐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.

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2021A 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.

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2020A 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.

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2020Rough volatility of Bitcoin. (2020). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231930337x.

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2020Rough 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.

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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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2021Combined 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.

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2021The 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.

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2020The 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.

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2020Linear 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.

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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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2020A 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.

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2020Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Discussion Paper. RePEc:tiu:tiucen:1f3bd844-92ab-4104-8f57-9e18c384bd2b.

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2020Five Fundamental Questions on Central Counterparties. (2020). Berndsen, Ron. In: Other publications TiSEM. RePEc:tiu:tiutis:1f3bd844-92ab-4104-8f57-9e18c384bd2b.

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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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2020Analytical 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.

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2020xVA: 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.

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2020CREDIT 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.

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Works by Andrea Pallavicini:


YearTitleTypeCited
2008Default correlation, cluster dynamics and single names: The GPCL dynamical loss model In: Papers.
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paper3
2010Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations In: Papers.
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paper12
2010Credit models and the crisis, or: how I learned to stop worrying and love the CDOs In: Papers.
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paper4
2010Interest-Rate Modeling with Multiple Yield Curves In: Papers.
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paper13
2010Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics In: Papers.
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paper25
2014Parsimonious HJM modelling for multiple yield curve dynamics.(2014) In: Quantitative Finance.
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article
2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers.
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paper28
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
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paper30
2012Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers.
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paper0
2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers.
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paper26
2013Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers.
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paper8
2013CCPs, 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.
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paper0
2014CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach In: Papers.
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paper3
2014Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes In: Papers.
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paper4
2015Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs In: Papers.
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paper2
2015Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization In: Papers.
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paper2
2018Impact of multiple curve dynamics in credit valuation adjustments under collateralization.(2018) In: Quantitative Finance.
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This paper has another version. Agregated cites: 2
article
2015FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae In: Papers.
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paper0
2015A backward Monte Carlo approach to exotic option pricing In: Papers.
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paper1
2017Rough volatility: evidence from option prices In: Papers.
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paper18
2018Rough volatility: Evidence from option prices.(2018) In: IISE Transactions.
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article
2017An indifference approach to the cost of capital constraints: KVA and beyond In: Papers.
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paper0
2019Quantization goes Polynomial In: Papers.
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paper0
2018Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers.
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paper5
2020Smile Modelling in Commodity Markets In: Papers.
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paper3
2020SMILE MODELING IN COMMODITY MARKETS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF).
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article
2019On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers.
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paper0
2019Funding Adjustments in Equity Linear Products In: Papers.
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paper1
2020Pricing commodity swing options In: Papers.
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paper2
2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance.
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article33
2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research.
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article2
2009Stressing rating criteria allowing for default clustering: the CPDO case In: MPRA Paper.
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paper0
2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2011ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article9
2013PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK In: International Journal of Theoretical and Applied Finance (IJTAF).
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article4
2015A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING In: International Journal of Theoretical and Applied Finance (IJTAF).
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article2
2017DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article3
2014Nonlinear 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).
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article12

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