7
H index
5
i10 index
166
Citations
Alessandro Gnoatto : Citation Profile
Università degli Studi di Verona | RESEARCH PRODUCTION: 10 Articles 28 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2012 - 2025). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Alessandro Gnoatto. | Is cited by:
| Cites to:
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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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | A note on closed-form spread option valuation under log-normal models. (2024). Abudurexiti, Nuerxiati ; He, Kai ; Sayit, Hasanjan ; Hu, Dongdong. In: Papers. RePEc:arx:papers:2109.05431. Full description at Econpapers || Download paper |
| 2025 | Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033. Full description at Econpapers || Download paper |
| 2024 | Accelerated Computations of Sensitivities for xVA. (2024). Grzelak, Lech A ; Deelstra, Griselda ; Wolf, Felix. In: Papers. RePEc:arx:papers:2211.17026. Full description at Econpapers || Download paper |
| 2024 | Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. (2024). Lavagnini, Silvia ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2312.13057. Full description at Econpapers || Download paper |
| 2025 | A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models. (2025). Georgoulis, Emmanuil H ; Smaragdakis, Costas ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2401.06740. Full description at Econpapers || Download paper |
| 2024 | The geometry of multi-curve interest rate models. (2024). Lanaro, Giacomo ; Fontana, Claudio ; Murgoci, Agatha. In: Papers. RePEc:arx:papers:2401.11619. Full description at Econpapers || Download paper |
| 2024 | A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations. (2024). Kapllani, Lorenc ; Teng, Long. In: Papers. RePEc:arx:papers:2404.08456. Full description at Econpapers || Download paper |
| 2025 | Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs. (2025). Wu, Sizhou ; Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2405.05192. Full description at Econpapers || Download paper |
| 2024 | Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon. (2024). Choulli, T ; Alsheyab, S. In: Papers. RePEc:arx:papers:2408.04758. Full description at Econpapers || Download paper |
| 2025 | Real-world models for multiple term structures: a unifying HJM semimartingale framework. (2025). Tappe, Stefan ; Platen, Eckhard ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2411.01983. Full description at Econpapers || Download paper |
| 2025 | When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization. (2025). Oberpriller, Katharina ; Gnoatto, Alessandro ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2502.12774. Full description at Econpapers || Download paper |
| 2025 | Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766. Full description at Econpapers || Download paper |
| 2025 | A deep solver for backward stochastic Volterra integral equations. (2025). Andersson, Kristoffer ; Garc, Camilo Andr'Es ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2505.18297. Full description at Econpapers || Download paper |
| 2025 | Kolmogorov equations for stochastic Volterra processes with singular kernels. (2025). Pannier, Alexandre ; Gasteratos, Ioannis. In: Papers. RePEc:arx:papers:2509.21608. Full description at Econpapers || Download paper |
| 2024 | Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x. Full description at Econpapers || Download paper |
| 2025 | Pricing options on the maximum or the minimum of several assets with default risk. (2025). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001979. 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 |
| 2025 | Multivariate additive subordination with applications in finance. (2025). Ballotta, Laura ; Amici, Giovanni ; Semeraro, Patrizia. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:1004-1020. Full description at Econpapers || Download paper |
| 2024 | Measure-valued affine and polynomial diffusions. (2024). Svaluto-Ferro, Sara ; di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:175:y:2024:i:c:s030441492400098x. Full description at Econpapers || Download paper |
| 2024 | CBI-time-changed Lévy processes for multi-currency modeling. (2024). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04982-z. Full description at Econpapers || Download paper |
| 2024 | Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk. (2024). Wunderlich, Linus ; Glau, Kathrin. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05315-4. Full description at Econpapers || Download paper |
| 2025 | Computing XVA for American basket derivatives by machine learning techniques. (2025). Goudenge, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00540-7. Full description at Econpapers || Download paper |
| 2025 | Identifying the number of latent factors of stochastic volatility models. (2025). Mancino, Maria Elvira ; Allaj, Erindi ; Sanfelici, Simona. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00479-5. 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 | 25 |
| 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: 25 | 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 | 39 |
| 2014 | A general HJM framework for multiple yield curve modeling.(2014) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 39 | 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: 39 | 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 | 18 |
| 2019 | Affine multiple yield curve models.(2019) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | 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 | 7 |
| 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 | 3 |
| 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: 3 | paper | |
| 2022 | Deep xVA solver -- A neural network based counterparty credit risk management framework In: Papers. [Full Text][Citation analysis] | paper | 15 |
| 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: 15 | 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 | 2 |
| 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: 2 | paper | |
| 2025 | A deep solver for BSDEs with jumps In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 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 | 22 |
| 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 | 1 |
| 2020 | GENERAL ANALYSIS OF LONG-TERM INTEREST RATES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team