Andrea Pallavicini : Citation Profile

11

H index

11

i10 index

458

Citations

RESEARCH PRODUCTION:

22

Articles

37

Papers

1

Chapters

RESEARCH ACTIVITY:

   18 years (2007 - 2025). See details.
   Cites by year: 25
   Journals where Andrea Pallavicini has often published
   Relations with other researchers
   Recent citing documents: 44.    Total self citations: 24 (4.98 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa573
   Updated: 2025-12-20    RAS profile: 2025-04-28    
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Relations with other researchers

Works with:

Brigo, Damiano (3)

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)

Bianchetti, Marco (11)

Grzelak, Lech (11)

Wang, Xingchun (9)

Vrins, Frédéric (7)

Oertel, Frank (6)

Oliva, Immacolata (6)

Kimura, Herbert (4)

Cites to:

Brigo, Damiano (92)

Duffie, Darrell (8)

Albanese, Claudio (6)

Packer, Frank (6)

Henrard, Marc (6)

Fries, Christian (5)

Schwert, G. (5)

Tapking, Jens (4)

Pedersen, Lasse (4)

Eisenschmidt, Jens (4)

HUANG, MING (4)

Main data

Where Andrea Pallavicini has published?

Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)7
Quantitative Finance5
Journal of Risk Management in Financial Institutions2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org35

Recent works citing Andrea Pallavicini (2025 and 2024)

YearTitle of citing document
2024Solving optimal stopping problems with Deep Q-Learning. (2024). Michel, Loris ; Ery, John. In: Papers. RePEc:arx:papers:2101.09682.

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2025Everything You Always Wanted to Know About XVA Model Risk but Were Afraid to Ask. (2025). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo. In: Papers. RePEc:arx:papers:2107.10377.

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2025Pricing and hedging of SOFR derivatives. (2025). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2024Short-time expansion of characteristic functions in a rough volatility setting with applications. (2024). Todorov, Viktor ; Chong, Carsten. In: Papers. RePEc:arx:papers:2208.00830.

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2024No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2024). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746.

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2024Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments. (2024). van der Zwaard, T ; Grzelak, L A ; Oosterlee, C W. In: Papers. RePEc:arx:papers:2209.12222.

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2024Statistical inference for rough volatility: Minimax Theory. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214.

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2024Statistical inference for rough volatility: Central limit theorems. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2024Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting. (2024). Lavagnini, Silvia ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2312.13057.

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2024Roughness Signature Functions. (2024). Christensen, Peter. In: Papers. RePEc:arx:papers:2401.02819.

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2025On short-time behavior of implied volatility in a market model with indexes. (2025). Nguyen, Thai ; Chau, Huy N. In: Papers. RePEc:arx:papers:2402.16509.

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2024On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment. (2024). Villarino, Joel P ; 'Alvaro Leitao, . In: Papers. RePEc:arx:papers:2407.16435.

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2025Cross-Currency Basis Swaps Referencing Backward-Looking Rates. (2024). Rutkowski, Marek ; Liu, Ruyi ; Ding, Yining. In: Papers. RePEc:arx:papers:2410.08477.

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2024Hedging and Pricing Structured Products Featuring Multiple Underlying Assets. (2024). Schlener, Mario ; Dejesus, Julio ; Noh, Jaesun ; Chen, Freeman ; Sharma, Anil. In: Papers. RePEc:arx:papers:2411.01121.

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2024Unsupervised learning-based calibration scheme for Rough Bergomi model. (2024). Teng, Changqing ; Li, Guanglian. In: Papers. RePEc:arx:papers:2412.02135.

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2025When 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.

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2025Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis. (2025). Andersson, Kristoffer ; Gnoatto, Alessandro. In: Papers. RePEc:arx:papers:2502.14766.

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2025Effective dimensionality reduction for Greeks computation using Randomized QMC. (2025). Bianchetti, Marco ; Scoleri, Stefano ; Kucherenko, Sergei ; Albieri, Luca. In: Papers. RePEc:arx:papers:2504.11576.

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2025Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2504.18960.

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2025Why is the volatility of single stocks so much rougher than that of the S&P500?. (2025). Muzy, Jean-Franccois ; Bouchaud, Jean-Philippe ; Bacry, Emmanuel ; Aubrun, Cecilia ; Zarhali, Othmane. In: Papers. RePEc:arx:papers:2505.02678.

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2025Roughness Analysis of Realized Volatility and VIX through Randomized Kolmogorov-Smirnov Distribution. (2025). Bianchi, Sergio ; Angelini, Daniele. In: Papers. RePEc:arx:papers:2509.20015.

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2025A high-frequency approach to Realized Risk Measures. (2025). Mazzarisi, Piero ; Lillo, Fabrizio ; Gatta, Federico. In: Papers. RePEc:arx:papers:2510.16526.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

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2025Sharpening Shapley Allocation: from Basel 2.5 to FRTB. (2025). Bianchetti, Marco ; Scaringi, Marco. In: Papers. RePEc:arx:papers:2511.12391.

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2025Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data. (2025). Yu, Jun ; Xiao, Weilin ; Zhang, Chen ; Wang, Xiaohu. In: Working Papers. RePEc:boa:wpaper:202527.

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2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Wang, Xingchun ; Cai, Chengyou ; Yu, Baimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2025Evaluation of counterparty credit risk under netting agreements. (2025). Tavasoli, Ahmadreza ; Breton, Michle. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416.

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2025Industry return prediction via interpretable deep learning. (2025). Sermpinis, Georgios ; Iannino, Maria Chiara ; Psaradellis, Ioannis ; Zografopoulos, Lazaros. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:257-268.

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2025A general valuation framework for rough stochastic local volatility models and applications. (2025). Ma, Jingtang ; Yang, Wensheng ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:1:p:307-324.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017124.

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2025Does bid-ask spread explains the smile? On DVF and DML. (2025). Yu, Xing ; Liu, Guifang ; Lin, Yan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003974.

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2024Functional central limit theorems for rough volatility. (2024). Horvath, Blanka ; Jacquier, Antoine ; Sojmark, Andreas ; Muguruza, Aitor. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:122848.

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2024Handling model risk with XVAs. (2024). Crpey, Stphane ; Bnzet, Cyril. In: Post-Print. RePEc:hal:journl:hal-03675291.

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2024The rough Hawkes Heston stochastic volatility model. (2024). Pulido, Sergio ; Bondi, Alessandro ; Scotti, Simone. In: Post-Print. RePEc:hal:journl:hal-03827332.

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2024Pseudo rough vol-of-vol through Markovian approximation. (2024). Guerra, Joo ; Guerreiro, Henrique. In: Working Papers REM. RePEc:ise:remwps:wp03102024.

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2025Valuation of vulnerable options using a bivariate Gram–Charlier approximation. (2025). Wang, Xingchun ; Ou, Xinyue ; Dong, Dingding. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:1:d:10.1007_s11147-024-09207-y.

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2024The Multivariate Fractional Ornstein-Uhlenbeck Process. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:581.

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2024Multivariate Rough Volatility. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:589.

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2024CBI-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.

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2024XVA modelling: validation, performance and model risk management. (2024). Bianchetti, Marco ; Scaringi, Marco ; Silotto, Lorenzo. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05323-4.

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2024Functional central limit theorems for rough volatility. (2024). Horvath, Blanka ; Jacquier, Antoine ; Sojmark, Andreas ; Muguruza, Aitor. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:3:d:10.1007_s00780-024-00533-5.

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2024On the Assessment of the Long-Term Relationship between the AZN/RUB and USD/RUB Rates against the Backdrop of Increasing Sanctions against Russia. (2024). Orudzhev, E G ; Mamedova, L M. In: Studies on Russian Economic Development. RePEc:spr:sorede:v:35:y:2024:i:2:d:10.1134_s1075700724020114.

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2025Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics. (2025). Seeger, Norman ; Lucas, Andrae ; Khanna, Yonas. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250037.

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Works by Andrea Pallavicini:

YearTitleTypeCited
2008Default correlation, cluster dynamics and single names: The GPCL dynamical loss model In: Papers.
[Full Text][Citation analysis]		paper3
2010Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations In: Papers.
[Full Text][Citation analysis]		paper12
2010Credit models and the crisis, or: how I learned to stop worrying and love the CDOs In: Papers.
[Full Text][Citation analysis]		paper4
2010Interest-Rate Modeling with Multiple Yield Curves In: Papers.
[Full Text][Citation analysis]		paper16
2010Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics In: Papers.
[Full Text][Citation analysis]		paper32
2014Parsimonious HJM modelling for multiple yield curve dynamics.(2014) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		article
2011Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting In: Papers.
[Full Text][Citation analysis]		paper35
2011Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation In: Papers.
[Full Text][Citation analysis]		paper42
2012Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting In: Papers.
[Full Text][Citation analysis]		paper2
2012Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments In: Papers.
[Full Text][Citation analysis]		paper38
2013Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs In: Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper1
2014CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach In: Papers.
[Full Text][Citation analysis]		paper3
2014Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes In: Papers.
[Full Text][Citation analysis]		paper4
2015Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs In: Papers.
[Full Text][Citation analysis]		paper4
2015Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization In: Papers.
[Full Text][Citation analysis]		paper3
2018Impact of multiple curve dynamics in credit valuation adjustments under collateralization.(2018) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2015FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae In: Papers.
[Full Text][Citation analysis]		paper0
2015A backward Monte Carlo approach to exotic option pricing In: Papers.
[Full Text][Citation analysis]		paper1
2017Rough volatility: evidence from option prices In: Papers.
[Full Text][Citation analysis]		paper62
2018Rough volatility: Evidence from option prices.(2018) In: IISE Transactions.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		article
2017An indifference approach to the cost of capital constraints: KVA and beyond In: Papers.
[Full Text][Citation analysis]		paper0
2019Quantization goes Polynomial In: Papers.
[Full Text][Citation analysis]		paper0
2021Quantization goes polynomial.(2021) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2018Risk-neutral valuation under differential funding costs, defaults and collateralization In: Papers.
[Full Text][Citation analysis]		paper8
2020Smile Modelling in Commodity Markets In: Papers.
[Full Text][Citation analysis]		paper4
2020SMILE MODELING IN COMMODITY MARKETS.(2020) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2019On the consistency of jump-diffusion dynamics for FX rates under inversion In: Papers.
[Full Text][Citation analysis]		paper4
2020On the consistency of jump-diffusion dynamics for FX rates under inversion.(2020) In: International Journal of Financial Engineering (IJFE).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2019Funding Adjustments in Equity Linear Products In: Papers.
[Full Text][Citation analysis]		paper2
2020Pricing commodity swing options In: Papers.
[Full Text][Citation analysis]		paper4
2021A general framework for a joint calibration of VIX and VXX options In: Papers.
[Full Text][Citation analysis]		paper0
2024A general framework for a joint calibration of VIX and VXX options.(2024) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Interpretability in deep learning for finance: a case study for the Heston model In: Papers.
[Full Text][Citation analysis]		paper3
2021Chebyshev Greeks: Smoothing Gamma without Bias In: Papers.
[Full Text][Citation analysis]		paper4
2022Interpolating commodity futures prices with Kriging In: Papers.
[Full Text][Citation analysis]		paper0
2021Reinforcement learning for options on target volatility funds In: Papers.
[Full Text][Citation analysis]		paper0
2022Rough-Heston Local-Volatility Model In: Papers.
[Full Text][Citation analysis]		paper0
2023ROUGH-HESTON LOCAL-VOLATILITY MODEL.(2023) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2022Pricing commodity index options In: Papers.
[Full Text][Citation analysis]		paper1
2023Pricing commodity index options.(2023) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2025Machine-learning regression methods for American-style path-dependent contracts In: Papers.
[Full Text][Citation analysis]		paper0
2025Machine-learning regression methods for American-style path-dependent contracts.(2025) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2025Machine-learning regression methods for American-style path-dependent contracts.(2025) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2024Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices In: Papers.
[Full Text][Citation analysis]		paper0
2025Pricing Quanto and Composite Contracts with Local-Correlation Models In: Papers.
[Full Text][Citation analysis]		paper0
2009Risk-neutral versus objective loss distribution and CDO tranche valuation In: Journal of Risk Management in Financial Institutions.
[Full Text][Citation analysis]		article0
2011Credit models and the crisis: An overview In: Journal of Risk Management in Financial Institutions.
[Full Text][Citation analysis]		article0
2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS In: Mathematical Finance.
[Full Text][Citation analysis]		article62
2019Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement In: European Journal of Operational Research.
[Full Text][Citation analysis]		article12
2022Nonlinear Valuation with XVAs: Two Converging Approaches In: Mathematics.
[Full Text][Citation analysis]		article2
2009Stressing rating criteria allowing for default clustering: the CPDO case In: MPRA Paper.
[Full Text][Citation analysis]		paper0
Credit models and the crisis: default cluster dynamics and the generalized Poisson loss model In: Journal of Credit Risk.
[Full Text][Citation analysis]		article0
2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article5
2007CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES.(2007) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
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).
[Full Text][Citation analysis]		article24
2013PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article6
2015A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article3
2017DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		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).
[Full Text][Citation analysis]		article40

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