Andrea Pallavicini : Citation Profile


Are you Andrea Pallavicini?

8

H index

7

i10 index

184

Citations

RESEARCH PRODUCTION:

11

Articles

25

Papers

RESEARCH ACTIVITY:

   12 years (2007 - 2019). See details.
   Cites by year: 15
   Journals where Andrea Pallavicini has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 18 (8.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa573
   Updated: 2019-10-06    RAS profile: 2019-06-13    
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Relations with other researchers


Works with:

Brigo, Damiano (13)

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

Is cited by:

Brigo, Damiano (18)

Gnoatto, Alessandro (6)

Oertel, Frank (4)

Rulliere, Didier (3)

Blake, David (3)

Ballotta, Laura (2)

Douady, Raphael (2)

vanini, paolo (2)

Jacquier, Antoine (1)

Leung, Tim (1)

Dec, Marcin (1)

Cites to:

Brigo, Damiano (60)

Henrard, Marc (6)

Duffie, Darrell (6)

Fries, Christian (5)

Tapking, Jens (4)

Packer, Frank (4)

HUANG, MING (4)

Eisenschmidt, Jens (4)

merton, robert (3)

Oertel, Frank (2)

Staehr, Karsten (2)

Main data


Where Andrea Pallavicini has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)5
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org24

Recent works citing Andrea Pallavicini (2019 and 2018)


YearTitle of citing document
2017Central Clearing Valuation Adjustment. (2017). St'ephane Cr'epey, ; Yannick, Armenti . In: Papers. RePEc:arx:papers:1506.08595.

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2018Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps. (2018). Brigo, Damiano ; Petrelli, Andrea ; Pede, Nicola . In: Papers. RePEc:arx:papers:1512.07256.

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2017Funding, repo and credit inclusive valuation as modified option pricing. (2017). Brigo, Damiano ; Rutkowski, Marek ; Buescu, Cristin. In: Papers. RePEc:arx:papers:1602.05998.

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2018Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models. (2018). Rutkowski, Marek ; Bielecki, Tomasz R ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1701.08399.

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

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2019Functional central limit theorems for rough volatility. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2017Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466.

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

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2018Adapting the CVA model to Lelands framework. (2018). Amster, P ; Mogni, A P. In: Papers. RePEc:arx:papers:1802.04837.

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2018No-arbitrage implies power-law market impact and rough volatility. (2018). Jusselin, Paul ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1805.07134.

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2019Robust XVA. (2018). Bichuch, Maxim ; Sturm, Stephan ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1808.04908.

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2019Term structure modeling for multiple curves with stochastic discontinuities. (2018). Fontana, Claudio ; Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana. In: Papers. RePEc:arx:papers:1810.09882.

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2018Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives. (2018). Brummelhuis, Raymond ; Luo, Zhongmin . In: Papers. RePEc:arx:papers:1811.08038.

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2019ADOL - Markovian approximation of rough lognormal model. (2019). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1904.09240.

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2019Rough volatility of Bitcoin. (2019). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:1904.12346.

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2019From 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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2019Christmas Jump in LIBOR. (2019). Miheev, Serge E ; Mikheev, Vikenty. In: Papers. RePEc:arx:papers:1908.10014.

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2019Affine multiple yield curve models. (2019). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:2:p:568-611.

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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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2018Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures. (2018). Brigo, Damiano ; Vrins, Frederic. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1154-1164.

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2019Integrated structural approach to Credit Value Adjustment. (2019). Ballotta, Laura ; Marazzina, Daniele ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1143-1157.

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2018Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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2018Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129.

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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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2017Central Clearing Valuation Adjustment. (2017). Crepey, Stephane ; Yannick, Armenti . In: Working Papers. RePEc:hal:wpaper:hal-01169169.

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2018Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives. (2018). Crepey, Stephane ; Nguyen, Tuyet. In: Working Papers. RePEc:hal:wpaper:hal-01764400.

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2018Option pricing under fast-varying and rough stochastic volatility. (2018). Garnier, Josselin ; Solna, Knut. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4.

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2017Bail-in and asset encumbrance - Implications for banks’ asset liability management. (2017). Erhardt, Joachim ; Posch, Peter N ; Lubbers, Johannes . In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:18:y:2017:i:2:d:10.1057_jbr.2016.4.

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2019The impact of central clearing on the market for single-name credit default swaps. (2018). Dionne, Georges ; Breton, Michele ; Ben-Abdallah, Ramzi ; Akari, Mohamed-Ali. In: Working Papers. RePEc:ris:crcrmw:2018_001.

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2018Markovian and multi-curve friendly parametrisation of HJM model used in valuation adjustment of interest rate derivatives. (2018). Dec, Marcin. In: Working Papers. RePEc:sgh:kaewps:2018038.

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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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2019A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. (2019). Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo ; Gambaro, Anna Maria. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00242-1.

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2018An enlargement of filtration formula with applications to multiple non-ordered default times. (2018). Jeanblanc, Monique ; Song, Shiqi ; Li, Libo. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0349-z.

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2017Pricing via recursive quantization in stochastic volatility models. (2017). Callegaro, Giorgia ; Grasselli, Martino ; Fiorin, Lucio. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:855-872.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2017A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2017). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:384.

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2019Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin. (2019). Oliva, Immacolata ; Gnoatto, Alessandro ; Biagini, Francesca. In: Working Papers. RePEc:ver:wpaper:04/2019.

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2018XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS. (2018). Abbas-Turki, Lokman A ; Diallo, Babacar ; Crepey, Stephane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309.

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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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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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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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paper19
2014Parsimonious HJM modelling for multiple yield curve dynamics.(2014) In: Quantitative Finance.
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2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers.
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paper27
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
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paper26
2012Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers.
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2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers.
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2013Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers.
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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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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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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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2015Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization In: Papers.
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2018Impact of multiple curve dynamics in credit valuation adjustments under collateralization.(2018) In: Quantitative Finance.
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2015FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae In: Papers.
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2015A backward Monte Carlo approach to exotic option pricing In: Papers.
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2017Rough volatility: evidence from option prices In: Papers.
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2018Rough volatility: Evidence from option prices.(2018) In: IISE Transactions.
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2017An indifference approach to the cost of capital constraints: KVA and beyond In: Papers.
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2017Quantization goes Polynomial In: Papers.
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2018Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers.
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2018Smile Modelling in Commodity Markets In: Papers.
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2019On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers.
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2019Funding Adjustments in Equity Linear Products In: Papers.
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2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance.
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article21
2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research.
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2009Stressing rating criteria allowing for default clustering: the CPDO case In: MPRA Paper.
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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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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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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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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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2017DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
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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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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team