Andrea Pallavicini : Citation Profile


Are you Andrea Pallavicini?

10

H index

10

i10 index

405

Citations

RESEARCH PRODUCTION:

15

Articles

31

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 27
   Journals where Andrea Pallavicini has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 23 (5.37 %)

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   Permalink: http://citec.repec.org/ppa573
   Updated: 2024-01-16    RAS profile: 2022-03-22    
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Relations with other researchers


Works with:

Brigo, Damiano (4)

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 (37)

Brigo, Damiano (33)

Oosterlee, Cornelis (13)

Albanese, Claudio (12)

Grzelak, Lech (11)

Vrins, Frédéric (7)

Wang, Xingchun (7)

Oertel, Frank (6)

Bianchetti, Marco (5)

Kimura, Herbert (4)

Arismendi Zambrano, Juan (4)

Cites to:

Brigo, Damiano (92)

Henrard, Marc (6)

Duffie, Darrell (6)

Albanese, Claudio (6)

Packer, Frank (6)

Schwert, G. (5)

Fries, Christian (5)

Pedersen, Lasse (4)

Tapking, Jens (4)

Brunnermeier, Markus (4)

Eisenschmidt, Jens (4)

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 Finance3

Working Papers Series with more than one paper published# docs
Papers / arXiv.org30

Recent works citing Andrea Pallavicini (2024 and 2023)


YearTitle of citing document
2023Functional central limit theorems for rough volatility. (2019). Jacquier, Antoine ; Muguruza, Aitor ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1711.03078.

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2023Optimal Stopping via Randomized Neural Networks. (2021). Herrera, Calypso ; Teichmann, Josef ; Ruyssen, Pierre ; Krach, Florian. In: Papers. RePEc:arx:papers:2104.13669.

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2023No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746.

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2023Efficient 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.

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2023Statistical 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.

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2023Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2305.16434.

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2023Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2023.

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2023Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo. (2023). Vogl, Markus. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:166:y:2023:i:c:s0960077922010633.

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2023Nonlinear 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.

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2023Modeling 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.

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2023Improved 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.

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2023.

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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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paper16
2010Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics In: Papers.
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paper30
2014Parsimonious HJM modelling for multiple yield curve dynamics.(2014) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 30
article
2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers.
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paper35
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
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paper37
2012Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers.
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paper2
2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers.
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paper36
2013Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers.
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paper9
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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paper1
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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paper4
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 nother 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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paper44
2018Rough volatility: Evidence from option prices.(2018) In: IISE Transactions.
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This paper has nother version. Agregated cites: 44
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
2021Quantization goes polynomial.(2021) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 0
article
2018Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers.
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paper8
2020Smile Modelling in Commodity Markets In: Papers.
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paper4
2020SMILE MODELING IN COMMODITY MARKETS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 4
article
2019On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers.
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paper2
2020On the consistency of jump-diffusion dynamics for FX rates under inversion.(2020) In: International Journal of Financial Engineering (IJFE).
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This paper has nother version. Agregated cites: 2
article
2019Funding Adjustments in Equity Linear Products In: Papers.
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paper2
2020Pricing commodity swing options In: Papers.
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paper4
2021A general framework for a joint calibration of VIX and VXX options In: Papers.
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paper0
2021Interpretability in deep learning for finance: a case study for the Heston model In: Papers.
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paper0
2021Chebyshev Greeks: Smoothing Gamma without Bias In: Papers.
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paper2
2022Interpolating commodity futures prices with Kriging In: Papers.
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paper0
2021Reinforcement learning for options on target volatility funds In: Papers.
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paper0
2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance.
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article56
2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research.
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article9
In: .
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article1
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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article5
2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES.(2007) In: World Scientific Book Chapters.
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This paper has nother version. Agregated cites: 5
chapter
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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article20
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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article6
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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article38

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