GNOATTO, Alessandro

GNOATTO, Alessandro  

DIPARTIMENTO DI SCIENZE ECONOMICHE  

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Titolo Data di pubblicazione Autore(i) File
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-2021 Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard
CBI-time-changed Lévy processes 1-gen-2022 Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
CBI-time-changed Lévy processes for multi-currency modeling 1-gen-2022 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
Deep Quadratic Hedging 1-gen-2022 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
Long-Term Yield in an Affine HJM Framework on $S_d^+$ 1-gen-2018 Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian
Multiple Yield Curve Modelling with CBI Processes 1-gen-2021 Gnoatto, Alessandro; Claudio, Fontana; Szulda, Guillaume