Citation profile for Alessandro Gnoatto

Alessandro Gnoatto : Citation Profile

Università degli Studi di Verona

H index

i10 index

148

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   10 years (2012 - 2022). See details.
   Cites by year: 14
   Journals where Alessandro Gnoatto has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 27 (15.43 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgn28
   Updated: 2024-11-04    RAS profile: 2022-11-16
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Patacca, Marco (2)

Oliva, Immacolata (2)

Platen, Eckhard (2)

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

Is cited by:

Escobar Anel, Marcos (5)

Platen, Eckhard (3)

Rayée, Grégory (2)

Itkin, Andrey (2)

Brigo, Damiano (2)

DA FONSECA, José (2)

Pallavicini, Andrea (1)

Schlogl, Erik (1)

Lütkebohmert, Eva (1)

Rindisbacher, Marcel (1)

Ballotta, Laura (1)

Cites to:

DA FONSECA, José (25)

Platen, Eckhard (23)

Brigo, Damiano (21)

Pallavicini, Andrea (20)

Tebaldi, Claudio (15)

Weron, Rafał (10)

gourieroux, christian (7)

Ielpo, Florian (7)

Wu, Liuren (7)

Janek, Agnieszka (7)

Oosterlee, Cornelis (6)

Main data

Where Alessandro Gnoatto has published?

Journals with more than one article published	# docs
International Journal of Theoretical and Applied Finance (IJTAF)	3
Quantitative Finance	2

Working Papers Series with more than one paper published	# docs
Papers / arXiv.org	18
Working Papers / University of Verona, Department of Economics	8

Recent works citing Alessandro Gnoatto (2024 and 2023)

Year	Title of citing document
2024	A note on closed-form spread option valuation under log-normal models. (2021). Sayit, Hasanjan ; Abudurexiti, Nuerxiati ; Hu, Dongdong ; He, Kai. In: Papers. RePEc:arx:papers:2109.05431. Full description at Econpapers \|\| Download paper
2023	Caplet pricing in affine models for risk-free rates. (2022). Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.09116. Full description at Econpapers \|\| Download paper
2023	Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers \|\| Download paper
2024	Accelerated Computations of Sensitivities for xVA. (2022). Wolf, Felix ; Grzelak, Lech A ; Deelstra, Griselda. In: Papers. RePEc:arx:papers:2211.17026. Full description at Econpapers \|\| Download paper
2023	A stochastic control perspective on term structure models with roll-over risk. (2023). Runggaldier, Wolfgang J ; Pavarana, Simone ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2304.04453. Full description at Econpapers \|\| Download paper
2024	A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations. (2024). Teng, Long ; Kapllani, Lorenc. In: Papers. RePEc:arx:papers:2404.08456. Full description at Econpapers \|\| Download paper
2024	Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs with infinite activity. (2024). Wu, Sizhou ; Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2405.05192. Full description at Econpapers \|\| Download paper
2023	Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307. Full description at Econpapers \|\| Download paper
2023	A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251. 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
2024	Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1195-1214. Full description at Econpapers \|\| Download paper
2023	XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Vazquez, Carlos ; Simonella, Roberta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79. Full description at Econpapers \|\| Download paper
2023	No free lunch for markets with multiple numéraires. (2023). Carassus, Laurence. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:104:y:2023:i:c:s0304406822001318. Full description at Econpapers \|\| Download paper
2023	CBI-time-changed Lévy processes. (2023). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:323-349. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	Pathwise CVA Regressions With Oversimulated Defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbas-Turki, Lokman A. In: Post-Print. RePEc:hal:journl:hal-03910149. Full description at Econpapers \|\| Download paper
2023	Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach. (2023). Zhang, Yumo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:46:y:2023:i:1:d:10.1007_s10203-022-00374-x. Full description at Econpapers \|\| Download paper
2023	A stochastic control perspective on term structure models with roll-over risk. (2023). Pavarana, Simone ; Fontana, Claudio ; Runggaldier, Wolfgang J. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00515-z. Full description at Econpapers \|\| Download paper

Works by Alessandro Gnoatto:

Year	Title	Type	Cited
2013	The explicit Laplace transform for the Wishart process In: Papers. [Full Text][Citation analysis]	paper	2
2013	Smiles all around: FX joint calibration in a multi-Heston model In: Papers. [Full Text][Citation analysis]	paper	22
2013	Smiles all around: FX joint calibration in a multi-Heston model.(2013) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22	article
2012	A flexible matrix Libor model with smiles In: Papers. [Full Text][Citation analysis]	paper	6
2013	A flexible matrix Libor model with smiles.(2013) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6	article
2014	The Wishart short rate model In: Papers. [Full Text][Citation analysis]	paper	7
2012	THE WISHART SHORT RATE MODEL.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7	article
2013	An analytic multi-currency model with stochastic volatility and stochastic interest rates In: Papers. [Full Text][Citation analysis]	paper	5
2015	Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield In: Papers. [Full Text][Citation analysis]	paper	2
2015	A general HJM framework for multiple yield curve modeling In: Papers. [Full Text][Citation analysis]	paper	36
2014	A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 36	paper
2016	A general HJM framework for multiple yield curve modelling.(2016) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36	article
2019	The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates In: Papers. [Full Text][Citation analysis]	paper	0
2017	Affine multiple yield curve models In: Papers. [Full Text][Citation analysis]	paper	17
2019	Affine multiple yield curve models.(2019) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17	article
2018	A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds In: Papers. [Full Text][Citation analysis]	paper	4
2016	A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds.(2016) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4	paper
2021	A unified approach to xVA with CSA discounting and initial margin In: Papers. [Full Text][Citation analysis]	paper	4
2020	Multiple yield curve modelling with CBI processes In: Papers. [Full Text][Citation analysis]	paper	2
2019	Multiple Yield Curve Modelling with CBI Processes.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2	paper
2021	Cross Currency Valuation and Hedging in the Multiple Curve Framework In: Papers. [Full Text][Citation analysis]	paper	2
2020	Cross Currency Valuation and Hedging in the Multiple Curve Framework.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2	paper
2022	Deep xVA solver -- A neural network based counterparty credit risk management framework In: Papers. [Full Text][Citation analysis]	paper	13
2020	Deep xVA solver - A neural network based counterparty credit risk management framework.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13	paper
2021	A Fully Quantization-based Scheme for FBSDEs In: Papers. [Full Text][Citation analysis]	paper	0
2021	A Fully Quantization-based Scheme for FBSDEs.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0	paper
2022	A change of measure formula for recursive conditional expectations In: Papers. [Full Text][Citation analysis]	paper	0
2022	CBI-time-changed L\evy processes for multi-currency modeling In: Papers. [Full Text][Citation analysis]	paper	1
2021	CBI-time-changed Lévy processes for multi-currency modeling.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1	paper
2022	A deep solver for BSDEs with jumps In: Papers. [Full Text][Citation analysis]	paper	4
2022	Calibration to FX triangles of the 4/2 model under the benchmark approach In: Decisions in Economics and Finance. [Full Text][Citation analysis]	article	1
2021	Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1	paper
2016	General closed-form basket option pricing bounds In: Quantitative Finance. [Full Text][Citation analysis]	article	20
2022	Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes In: Quantitative Finance. [Full Text][Citation analysis]	article	0
2019	Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin In: Working Papers. [Full Text][Citation analysis]	paper	0
2022	CBI-time-changed Lévy processes In: Working Papers. [Full Text][Citation analysis]	paper	0
2017	COHERENT FOREIGN EXCHANGE MARKET MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis]	article	0
2020	GENERAL ANALYSIS OF LONG-TERM INTEREST RATES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis]	article	0