GNOATTO, Alessandro
GNOATTO, Alessandro
DIPARTIMENTO DI SCIENZE ECONOMICHE
A change of measure formula for recursive conditional expectations
2024-01-01 Di Persio, Luca; Gnoatto, Alessandro; Patacca, Marco
A deep solver for BSDEs with jumps
2022-01-01 Gnoatto, Alessandro; Patacca, Marco; Picarelli, Athena
A flexible matrix Libor model with smiles
2013-01-01 Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino
A Fully Quantization-based Scheme for FBSDEs
2023-01-01 Callegaro, Giorgia; Gnoatto, Alessandro; Grasselli, Martino
A general HJM framework for multiple yield curve modelling
2016-01-01 Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
A Unified Approach to xVA with CSA Discounting and Initial Margin
2021-01-01 Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata
Affine Multiple Yield Curve Models
2019-01-01 Cuchiero, C.; Fontana, C.; Gnoatto, A.
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
2014-01-01 Gnoatto, Alessandro; Grasselli, Martino
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
2015-01-01 Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino
Book review: "Mathematical Modeling and Computation in Finance"
2022-01-01 Gnoatto, Alessandro; Horvath, Blanka
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach
2022-01-01 Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard
CBI-time-changed Lévy processes
2023-01-01 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
CBI-time-changed Lévy processes for multi-currency modeling
2024-01-01 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
COHERENT FOREIGN EXCHANGE MARKET MODELS
2017-01-01 Gnoatto, Alessandro
Cross Currency Valuation and Hedging in the Multiple Curve Framework
2021-01-01 Gnoatto, Alessandro; Seiffert, Nicole
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
2023-01-01 Gnoatto, Alessandro; Lavagnini, Silvia
Deep Quadratic Hedging
In corso di stampa Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena
Deep xVA solver - A neural network based counterparty credit risk management framework
2023-01-01 Gnoatto, Alessandro; Picarelli, Athena; Reisinger, Christoph
General Analysis of Long-Term Interest Rates
2020-01-01 Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian
General closed-form basket option pricing bounds
2016-01-01 Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| A change of measure formula for recursive conditional expectations | 1-gen-2024 | Di Persio, Luca; Gnoatto, Alessandro; Patacca, Marco | |
| A deep solver for BSDEs with jumps | 1-gen-2022 | Gnoatto, Alessandro; Patacca, Marco; Picarelli, Athena | |
| A flexible matrix Libor model with smiles | 1-gen-2013 | Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino | |
| A Fully Quantization-based Scheme for FBSDEs | 1-gen-2023 | Callegaro, Giorgia; Gnoatto, Alessandro; Grasselli, Martino | |
| A general HJM framework for multiple yield curve modelling | 1-gen-2016 | Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro | |
| A Unified Approach to xVA with CSA Discounting and Initial Margin | 1-gen-2021 | Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata | |
| Affine Multiple Yield Curve Models | 1-gen-2019 | Cuchiero, C.; Fontana, C.; Gnoatto, A. | |
| An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates | 1-gen-2014 | Gnoatto, Alessandro; Grasselli, Martino | |
| Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models | 1-gen-2015 | Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino | |
| Book review: "Mathematical Modeling and Computation in Finance" | 1-gen-2022 | Gnoatto, Alessandro; Horvath, Blanka | |
| Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach | 1-gen-2022 | Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard | |
| CBI-time-changed Lévy processes | 1-gen-2023 | Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume | |
| CBI-time-changed Lévy processes for multi-currency modeling | 1-gen-2024 | Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume | |
| COHERENT FOREIGN EXCHANGE MARKET MODELS | 1-gen-2017 | Gnoatto, Alessandro | |
| Cross Currency Valuation and Hedging in the Multiple Curve Framework | 1-gen-2021 | Gnoatto, Alessandro; Seiffert, Nicole | |
| Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting | 1-gen-2023 | Gnoatto, Alessandro; Lavagnini, Silvia | |
| Deep Quadratic Hedging | In corso di stampa | Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena | |
| Deep xVA solver - A neural network based counterparty credit risk management framework | 1-gen-2023 | Gnoatto, Alessandro; Picarelli, Athena; Reisinger, Christoph | |
| General Analysis of Long-Term Interest Rates | 1-gen-2020 | Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian | |
| General closed-form basket option pricing bounds | 1-gen-2016 | Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino |