Sfoglia per Autore
THE WISHART SHORT RATE MODEL
2012-01-01 Gnoatto, Alessandro
Smiles all around: FX joint calibration in a multi-Heston model
2013-01-01 De Col, Alvise; Gnoatto, Alessandro; Grasselli, Martino
A flexible matrix Libor model with smiles
2013-01-01 Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
2014-01-01 Gnoatto, Alessandro; Grasselli, Martino
THE EXPLICIT LAPLACE TRANSFORM FOR THE WISHART PROCESS
2014-01-01 Gnoatto, A; Grasselli, M
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
2015-01-01 Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino
General closed-form basket option pricing bounds
2016-01-01 Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino
A general HJM framework for multiple yield curve modelling
2016-01-01 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
COHERENT FOREIGN EXCHANGE MARKET MODELS
2017-01-01 Gnoatto, Alessandro
Long-Term Yield in an Affine HJM Framework on $S_d^+$
2018-01-01 Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian
Affine Multiple Yield Curve Models
2019-01-01 Cuchiero, C.; Fontana, C.; Gnoatto, A.
General Analysis of Long-Term Interest Rates
2020-01-01 Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian
A Unified Approach to xVA with CSA Discounting and Initial Margin
2021-01-01 Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata
Cross Currency Valuation and Hedging in the Multiple Curve Framework
2021-01-01 Gnoatto, Alessandro; Seiffert, Nicole
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach
2021-01-01 Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard
Multiple Yield Curve Modelling with CBI Processes
2021-01-01 Gnoatto, Alessandro; Claudio, Fontana; Szulda, Guillaume
CBI-time-changed Lévy processes for multi-currency modeling
2022-01-01 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
Book review: "Mathematical Modeling and Computation in Finance"
2022-01-01 Gnoatto, Alessandro; Horvath, Blanka
A deep solver for BSDEs with jumps
2022-01-01 Gnoatto, Alessandro; Patacca, Marco; Picarelli, Athena
Deep Quadratic Hedging
2022-01-01 Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| THE WISHART SHORT RATE MODEL | 1-gen-2012 | Gnoatto, Alessandro | |
| Smiles all around: FX joint calibration in a multi-Heston model | 1-gen-2013 | De Col, Alvise; Gnoatto, Alessandro; Grasselli, Martino | |
| A flexible matrix Libor model with smiles | 1-gen-2013 | Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino | |
| An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates | 1-gen-2014 | Gnoatto, Alessandro; Grasselli, Martino | |
| THE EXPLICIT LAPLACE TRANSFORM FOR THE WISHART PROCESS | 1-gen-2014 | Gnoatto, A; Grasselli, M | |
| Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models | 1-gen-2015 | Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino | |
| General closed-form basket option pricing bounds | 1-gen-2016 | Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino | |
| A general HJM framework for multiple yield curve modelling | 1-gen-2016 | Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro | |
| COHERENT FOREIGN EXCHANGE MARKET MODELS | 1-gen-2017 | Gnoatto, Alessandro | |
| Long-Term Yield in an Affine HJM Framework on $S_d^+$ | 1-gen-2018 | Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian | |
| Affine Multiple Yield Curve Models | 1-gen-2019 | Cuchiero, C.; Fontana, C.; Gnoatto, A. | |
| General Analysis of Long-Term Interest Rates | 1-gen-2020 | Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian | |
| A Unified Approach to xVA with CSA Discounting and Initial Margin | 1-gen-2021 | Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata | |
| Cross Currency Valuation and Hedging in the Multiple Curve Framework | 1-gen-2021 | Gnoatto, Alessandro; Seiffert, Nicole | |
| Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach | 1-gen-2021 | Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard | |
| Multiple Yield Curve Modelling with CBI Processes | 1-gen-2021 | Gnoatto, Alessandro; Claudio, Fontana; Szulda, Guillaume | |
| CBI-time-changed Lévy processes for multi-currency modeling | 1-gen-2022 | Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume | |
| Book review: "Mathematical Modeling and Computation in Finance" | 1-gen-2022 | Gnoatto, Alessandro; Horvath, Blanka | |
| A deep solver for BSDEs with jumps | 1-gen-2022 | Gnoatto, Alessandro; Patacca, Marco; Picarelli, Athena | |
| Deep Quadratic Hedging | 1-gen-2022 | Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena |
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