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Alessandro Gnoatto

Personal Details

First Name:Alessandro
Middle Name:
Last Name:Gnoatto
Suffix:
RePEc Short-ID:pgn28
[This author has chosen not to make the email address public]
http://www.alessandrognoatto.com

Affiliation

Dipartimento di Scienze Economiche
Facoltà di Economia
Università degli Studi di Verona

Verona, Italy
http://www.dse.univr.it/
RePEc:edi:isverit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alessandro Gnoatto & Marco Patacca & Athena Picarelli, 2022. "A deep solver for BSDEs with jumps," Papers 2211.04349, arXiv.org.
  2. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2022. "CBI-time-changed Lévy processes," Working Papers 05/2022, University of Verona, Department of Economics.
  3. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
  4. Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Papers 2105.09276, arXiv.org.
  5. Luca Di Persio & Alessandro Gnoatto & Marco Patacca, 2021. "A change of measure formula for recursive conditional expectations," Papers 2111.08359, arXiv.org, revised Jul 2022.
  6. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.
  7. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  8. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Papers 2001.11012, arXiv.org, revised Mar 2021.
  9. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2019. "Multiple yield curve modelling with CBI processes," Papers 1911.02906, arXiv.org, revised Oct 2020.
  10. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "A unified approach to xVA with CSA discounting and initial margin," Papers 1905.11328, arXiv.org, revised Mar 2021.
  11. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
  12. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
  13. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2015. "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates," Papers 1507.00208, arXiv.org, revised Jun 2019.
  15. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Working Papers hal-01011752, HAL.
  16. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
  17. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
  18. Alessandro Gnoatto, 2012. "The Wishart short rate model," Papers 1203.5513, arXiv.org, revised May 2014.
  19. Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers 1203.4786, arXiv.org.
  20. Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
  21. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.

Articles

  1. Alessandro Gnoatto & Blanka Horvath, 2022. "Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 1971-1972, November.
  2. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
  3. Francesca Biagini & Alessandro Gnoatto & Maximilian Härtel, 2020. "General Analysis Of Long-Term Interest Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-29, January.
  4. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2019. "Affine multiple yield curve models," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 568-611, April.
  5. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
  6. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
  7. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, vol. 20(2), pages 267-320, April.
  8. De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
  9. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
  10. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alessandro Gnoatto & Marco Patacca & Athena Picarelli, 2022. "A deep solver for BSDEs with jumps," Papers 2211.04349, arXiv.org.

    Cited by:

    1. Ariel Neufeld & Philipp Schmocker & Sizhou Wu, 2024. "Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs," Papers 2405.05192, arXiv.org, revised Sep 2024.
    2. Emmanuil H. Georgoulis & Antonis Papapantoleon & Costas Smaragdakis, 2024. "A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models," Papers 2401.06740, arXiv.org.
    3. Lorenc Kapllani & Long Teng, 2024. "A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations," Papers 2404.08456, arXiv.org.
    4. Xiangdong Liu & Yu Gu, 2023. "Study of Pricing of High-Dimensional Financial Derivatives Based on Deep Learning," Mathematics, MDPI, vol. 11(12), pages 1-16, June.

  2. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.

    Cited by:

    1. Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.

  3. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.

    Cited by:

    1. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.
    2. Yumo Zhang, 2023. "Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 97-128, June.

  4. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.

    Cited by:

    1. Griselda Deelstra & Lech A. Grzelak & Felix L. Wolf, 2022. "Accelerated Computations of Sensitivities for xVA," Papers 2211.17026, arXiv.org, revised Jan 2024.
    2. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2022. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022)," CARF F-Series CARF-F-532, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2022.
    3. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," Papers 2101.09890, arXiv.org, revised Jan 2021.
    4. Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Papers 2105.09276, arXiv.org.
    5. Lokman A Abbas-Turki & Stéphane Crépey & Bouazza Saadeddine, 2023. "Pathwise CVA Regressions With Oversimulated Defaults," Post-Print hal-03910149, HAL.
    6. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A New Efficient Approximation Scheme for Solving High-Dimensional Semilinear PDEs: Control Variate Method for Deep BSDE Solver," CIRJE F-Series CIRJE-F-1159, CIRJE, Faculty of Economics, University of Tokyo.
    7. Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
    8. Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
    9. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," CARF F-Series CARF-F-504, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2022.
    10. Takayuki Sakuma, 2020. "Application of deep quantum neural networks to finance," Papers 2011.07319, arXiv.org, revised May 2022.
    11. Lokman A. Abbas‐Turki & Stéphane Crépey & Bouazza Saadeddine, 2023. "Pathwise CVA regressions with oversimulated defaults," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 274-307, April.
    12. Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.
    13. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    14. Lokman Abbas-Turki & St'ephane Cr'epey & Bouazza Saadeddine, 2022. "Pathwise CVA Regressions With Oversimulated Defaults," Papers 2211.17005, arXiv.org.

  5. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Papers 2001.11012, arXiv.org, revised Mar 2021.

    Cited by:

    1. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    2. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
    3. Luca Di Persio & Alessandro Gnoatto & Marco Patacca, 2021. "A change of measure formula for recursive conditional expectations," Papers 2111.08359, arXiv.org, revised Jul 2022.
    4. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.

  6. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2019. "Multiple yield curve modelling with CBI processes," Papers 1911.02906, arXiv.org, revised Oct 2020.

    Cited by:

    1. Hainaut, Donatien, 2021. "Lévy interest rate models with a long memory," LIDAM Discussion Papers ISBA 2021020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Frikha, Noufel & Li, Libo, 2021. "Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs," Stochastic Processes and their Applications, Elsevier, vol. 132(C), pages 76-107.

  7. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "A unified approach to xVA with CSA discounting and initial margin," Papers 1905.11328, arXiv.org, revised Mar 2021.

    Cited by:

    1. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
    2. Damiano Brigo & Federico Graceffa & Alexander Kalinin, 2021. "Mild to classical solutions for XVA equations under stochastic volatility," Papers 2112.11808, arXiv.org.
    3. T. Choulli & S. Alsheyab, 2024. "Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon," Papers 2408.04758, arXiv.org.
    4. Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
    5. Callegaro, Giorgia & Gnoatto, Alessandro & Grasselli, Martino, 2023. "A fully quantization-based scheme for FBSDEs," Applied Mathematics and Computation, Elsevier, vol. 441(C).

  8. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.

    Cited by:

    1. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
    2. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.

  9. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.

    Cited by:

    1. Sandrine Gumbel & Thorsten Schmidt, 2020. "Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework," Papers 2004.07736, arXiv.org, revised Apr 2020.
    2. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2018. "Multiple curve L\'evy forward price model allowing for negative interest rates," Papers 1805.02605, arXiv.org.
    3. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2019. "Multiple curve Lévy forward price model allowing for negative interest rates," Post-Print hal-03898912, HAL.
    4. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
    5. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
    6. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
    7. Alessandro Gnoatto & Silvia Lavagnini, 2023. "Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting," Papers 2312.13057, arXiv.org.
    8. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
    9. Claudio Fontana & Zorana Grbac & Sandrine Gumbel & Thorsten Schmidt, 2018. "Term structure modeling for multiple curves with stochastic discontinuities," Papers 1810.09882, arXiv.org, revised Dec 2019.
    10. Sandrine Gümbel & Thorsten Schmidt, 2020. "Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework," Risks, MDPI, vol. 8(2), pages 1-18, May.
    11. Yangfan Zhong & Yanhui Mi, 2018. "Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-31, September.
    12. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Post-Print hal-03898927, HAL.
    13. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, vol. 24(2), pages 465-511, April.
    14. Henrik Dam & Andrea Macrina & David Skovmand & David Sloth, 2018. "Rational Models for Inflation-Linked Derivatives," Papers 1801.08804, arXiv.org, revised Jul 2020.
    15. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2019. "Multiple Yield Curve Modelling with CBI Processes," Working Papers 19/2019, University of Verona, Department of Economics.
    16. Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.
    17. Markus Hess, 2020. "A pure-jump mean-reverting short rate model," Papers 2006.14814, arXiv.org.
    18. Yangfan Zhong, 2018. "LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-38, June.
    19. Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
    20. Dorota Toczydlowska & Gareth W. Peters, 2018. "Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics," Econometrics, MDPI, vol. 6(3), pages 1-45, July.

  10. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
    2. Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong, 2019. "Generalized Mean-Reverting 4/2 Factor Model," JRFM, MDPI, vol. 12(4), pages 1-21, October.
    3. Giovanni Barone Adesi & Eckhard Platen & Carlo Sala, 2020. "On Using Equities to Produce Pension Payouts," Research Paper Series 413, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
    5. Shunwei Zhu & Bo Wang, 2019. "Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1421-1442, April.

  11. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Working Papers hal-01011752, HAL.

    Cited by:

    1. Sandrine Gumbel & Thorsten Schmidt, 2020. "Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework," Papers 2004.07736, arXiv.org, revised Apr 2020.
    2. Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Finance and Stochastics, Springer, vol. 27(4), pages 903-932, October.
    3. Markus Hess, 2019. "An Arithmetic Pure-Jump Multi-Curve Interest Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-30, December.
    4. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2018. "Multiple curve L\'evy forward price model allowing for negative interest rates," Papers 1805.02605, arXiv.org.
    5. Thorsten Schmidt, 2016. "Shot-Noise Processes in Finance," Papers 1612.06616, arXiv.org.
    6. Ernst Eberlein & Christoph Gerhart & Zorana Grbac, 2019. "Multiple curve Lévy forward price model allowing for negative interest rates," Post-Print hal-03898912, HAL.
    7. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Working Papers 03/2020, University of Verona, Department of Economics.
    8. Tappe, Stefan, 2016. "Affine realizations with affine state processes for stochastic partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2062-2091.
    9. Atkins, Philip J. & Cummins, Mark, 2023. "Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1331-1348.
    10. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Papers 1801.04994, arXiv.org, revised Feb 2018.
    11. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2015. "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates," Papers 1507.00208, arXiv.org, revised Jun 2019.
    12. The Anh Nguyen & Frank Thomas Seifried, 2015. "The Multi-Curve Potential Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-32, November.
    13. Marek Rutkowski & Matthew Bickersteth, 2021. "Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization," Papers 2112.14033, arXiv.org.
    14. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
    15. Claudio Fontana & Simone Pavarana & Wolfgang J. Runggaldier, 2023. "A stochastic control perspective on term structure models with roll-over risk," Papers 2304.04453, arXiv.org, revised Oct 2023.
    16. Carassus, Laurence, 2023. "No free lunch for markets with multiple numéraires," Journal of Mathematical Economics, Elsevier, vol. 104(C).
    17. Claudio Fontana & Zorana Grbac & Sandrine Gumbel & Thorsten Schmidt, 2018. "Term structure modeling for multiple curves with stochastic discontinuities," Papers 1810.09882, arXiv.org, revised Dec 2019.
    18. Sandrine Gümbel & Thorsten Schmidt, 2020. "Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework," Risks, MDPI, vol. 8(2), pages 1-18, May.
    19. Yangfan Zhong & Yanhui Mi, 2018. "Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-31, September.
    20. Claudio Fontana & Giacomo Lanaro & Agatha Murgoci, 2024. "The geometry of multi-curve interest rate models," Papers 2401.11619, arXiv.org, revised Jun 2024.
    21. Gerhart, Christoph & Lütkebohmert, Eva, 2020. "Empirical analysis and forecasting of multiple yield curves," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 59-78.
    22. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Post-Print hal-03898927, HAL.
    23. Claudio Fontana & Zorana Grbac & Sandrine Gümbel & Thorsten Schmidt, 2020. "Term structure modelling for multiple curves with stochastic discontinuities," Finance and Stochastics, Springer, vol. 24(2), pages 465-511, April.
    24. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2019. "Multiple Yield Curve Modelling with CBI Processes," Working Papers 19/2019, University of Verona, Department of Economics.
    25. Stephane Crepey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2015. "Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments," Papers 1502.07397, arXiv.org.
    26. Fanelli, Viviana, 2017. "Implications of implicit credit spread volatilities on interest rate modelling," European Journal of Operational Research, Elsevier, vol. 263(2), pages 707-718.
    27. Andrea Macrina & Obeid Mahomed, 2018. "Consistent Valuation Across Curves Using Pricing Kernels," Risks, MDPI, vol. 6(1), pages 1-39, March.
    28. Markus Hess, 2020. "A pure-jump mean-reverting short rate model," Papers 2006.14814, arXiv.org.
    29. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization," Papers 1507.08779, arXiv.org, revised Sep 2015.
    30. Stefan Tappe, 2019. "Affine realizations with affine state processes for stochastic partial differential equations," Papers 1907.00336, arXiv.org.
    31. Yangfan Zhong, 2018. "LIBOR market model with multiplicative basis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-38, June.
    32. Stefan Tappe, 2022. "Invariant cones for jump-diffusions in infinite dimensions," Papers 2206.13913, arXiv.org, revised Nov 2023.
    33. Laurence Carassus, 2021. "No free lunch for markets with multiple num\'eraires," Papers 2107.12885, arXiv.org, revised Dec 2022.
    34. Gallitschke, Janek & Seifried (née Müller), Stefanie & Seifried, Frank Thomas, 2017. "Interbank interest rates: Funding liquidity risk and XIBOR basis spreads," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 142-152.
    35. Thomas Krabichler & Josef Teichmann, 2020. "The Jarrow & Turnbull setting revisited," Papers 2004.12392, arXiv.org.
    36. Nikolaos Karouzakis & John Hatgioannides & Kostas Andriosopoulos, 2018. "Convexity adjustment for constant maturity swaps in a multi-curve framework," Annals of Operations Research, Springer, vol. 266(1), pages 159-181, July.
    37. Stéphane Crépey & Andrea Macrina & Tuyet Mai Nguyen & David Skovmand, 2016. "Rational multi-curve models with counterparty-risk valuation adjustments," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 847-866, June.
    38. Zorana Grbac & Antonis Papapantoleon & John Schoenmakers & David Skovmand, 2014. "Affine LIBOR models with multiple curves: theory, examples and calibration," Papers 1405.2450, arXiv.org, revised Aug 2015.
    39. Sandrine Gumbel & Thorsten Schmidt, 2021. "Defaultable term structures driven by semimartingales," Papers 2103.01577, arXiv.org, revised Aug 2021.
    40. Dorota Toczydlowska & Gareth W. Peters, 2018. "Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics," Econometrics, MDPI, vol. 6(3), pages 1-45, July.

  12. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.

    Cited by:

    1. Tappe, Stefan, 2016. "Affine realizations with affine state processes for stochastic partial differential equations," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 2062-2091.
    2. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2015. "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates," Papers 1507.00208, arXiv.org, revised Jun 2019.
    3. Stefan Tappe, 2019. "Affine realizations with affine state processes for stochastic partial differential equations," Papers 1907.00336, arXiv.org.

  13. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

    Cited by:

    1. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
    2. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
    4. Matthias Muck, 2022. "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, vol. 25(3), pages 293-314, October.
    5. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    6. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
    7. Shunwei Zhu & Bo Wang, 2019. "Unified Approach for the Affine and Non-affine Models: An Empirical Analysis on the S&P 500 Volatility Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1421-1442, April.

  14. Alessandro Gnoatto, 2012. "The Wishart short rate model," Papers 1203.5513, arXiv.org, revised May 2014.

    Cited by:

    1. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    2. Alfonsi, Aurélien & Kebaier, Ahmed & Rey, Clément, 2016. "Maximum likelihood estimation for Wishart processes," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3243-3282.
    3. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
    4. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    5. Abdelkoddousse Ahdida & Aur'elien Alfonsi & Ernesto Palidda, 2014. "Smile with the Gaussian term structure model," Papers 1412.7412, arXiv.org, revised Nov 2015.
    6. Song, Jian & Yao, Jianfeng & Yuan, Wangjun, 2022. "Recent advances on eigenvalues of matrix-valued stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    7. Claudio Fontana, 2022. "Caplet pricing in affine models for alternative risk-free rates," Papers 2202.09116, arXiv.org, revised Jan 2023.
    8. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
    9. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    10. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
    11. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

  15. Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers 1203.4786, arXiv.org.

    Cited by:

    1. Rama Cont & Lakshithe Wagalath, 2014. "Institutional Investors and the Dependence Structure of Asset Returns," Working Papers 2014-ACF-01, IESEG School of Management.
    2. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Papers 1406.4301, arXiv.org, revised May 2015.
    3. Rama Cont & Lakshithe Wagalath, 2016. "Institutional Investors And The Dependence Structure Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-37, March.
    4. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
    5. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    6. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
    7. Stefan Waldenberger & Wolfgang Muller, 2015. "Affine LIBOR models driven by real-valued affine processes," Papers 1503.00864, arXiv.org.
    8. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    9. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.

  16. Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.

    Cited by:

    1. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
    2. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
    3. Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong, 2019. "Generalized Mean-Reverting 4/2 Factor Model," JRFM, MDPI, vol. 12(4), pages 1-21, October.
    4. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.
    5. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
    6. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.
    7. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.
    8. Fazlollah Soleymani & Andrey Itkin, 2019. "Pricing foreign exchange options under stochastic volatility and interest rates using an RBF--FD method," Papers 1903.00937, arXiv.org.
    9. Ryan McCrickerd, 2019. "On spatially irregular ordinary differential equations and a pathwise volatility modelling framework," Papers 1902.01673, arXiv.org, revised Sep 2021.
    10. Escobar-Anel, Marcos & Rastegari, Javad & Stentoft, Lars, 2020. "Affine multivariate GARCH models," Journal of Banking & Finance, Elsevier, vol. 118(C).
    11. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CARF F-Series CARF-F-343, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2014.
    12. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
    13. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," CIRJE F-Series CIRJE-F-931, CIRJE, Faculty of Economics, University of Tokyo.
    14. Simonella, Roberta & Vázquez, Carlos, 2023. "XVA in a multi-currency setting with stochastic foreign exchange rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 59-79.
    15. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
    16. Shiraya, Kenichiro & Yamakami, Tomohisa, 2024. "Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1195-1214.
    17. Masaaki Fujii, 2014. "A Polynomial Scheme of Asymptotic Expansion for Backward SDEs and Option pricing," Papers 1405.0378, arXiv.org, revised Dec 2014.
    18. Martino Grasselli, 2017. "The 4/2 Stochastic Volatility Model: A Unified Approach For The Heston And The 3/2 Model," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 1013-1034, October.
    19. Cornelis S. L. de Graaf & Drona Kandhai & Christoph Reisinger, 2016. "Efficient exposure computation by risk factor decomposition," Papers 1608.01197, arXiv.org, revised Feb 2018.
    20. Wang, Hang & Hu, Zhijun, 2020. "Optimal consumption and portfolio decision with stochastic covariance in incomplete markets," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
    21. Marcos Escobar-Anel & Harold A. Moreno-Franco, 2019. "Dynamic portfolio strategies under a fully correlated jump-diffusion process," Annals of Finance, Springer, vol. 15(3), pages 421-453, September.
    22. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
    23. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
    24. Matthias Muck, 2022. "Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities," Review of Derivatives Research, Springer, vol. 25(3), pages 293-314, October.
    25. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    26. Masaaki Fujii, 2016. "A polynomial scheme of asymptotic expansion for backward SDEs and option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 427-445, March.
    27. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
    28. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.

  17. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.

    Cited by:

    1. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    2. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
    3. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
    4. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.

Articles

  1. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
    See citations under working paper version above.
  2. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2019. "Affine multiple yield curve models," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 568-611, April.
    See citations under working paper version above.
  3. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.

    Cited by:

    1. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.
    2. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed Lévy processes for multi-currency modeling," Working Papers 14/2021, University of Verona, Department of Economics.

  4. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.

    Cited by:

    1. Kirkby, J. Lars & Nguyen, Dang H. & Nguyen, Duy, 2020. "A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions," Applied Mathematics and Computation, Elsevier, vol. 386(C).
    2. Shiraya, Kenichiro & Takahashi, Akihiko, 2017. "A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance," European Journal of Operational Research, Elsevier, vol. 258(1), pages 358-371.
    3. Kenichiro Shiraya & Hiroki Uenishi & Akira Yamazaki, 2019. "A General Control Variate Method for Lévy Models in Finance (Published in European Journal of Operational Research.)," CARF F-Series CARF-F-455, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2020.
    4. Chris Kenyon & Mourad Berrahoui & Benjamin Poncet, 2017. "Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL," Papers 1710.03161, arXiv.org, revised Nov 2018.
    5. Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
    6. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
    7. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Papers 1406.4301, arXiv.org, revised May 2015.
    8. Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Norbert Henze & Jaco Visagie, 2020. "Testing for normality in any dimension based on a partial differential equation involving the moment generating function," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(5), pages 1109-1136, October.
    10. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
    11. Diogo Duarte & Rodolfo Prieto & Marcel Rindisbacher & Yuri F. Saporito, 2022. "Vanishing Contagion Spreads," Management Science, INFORMS, vol. 68(1), pages 740-772, January.
    12. Jaehyuk Choi, 2018. "Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 627-644, June.
    13. Shiraya, Kenichiro & Uenishi, Hiroki & Yamazaki, Akira, 2020. "A general control variate method for Lévy models in finance," European Journal of Operational Research, Elsevier, vol. 284(3), pages 1190-1200.
    14. Luca De Gennaro Aquino & Carole Bernard, 2019. "Bounds on Multi-asset Derivatives via Neural Networks," Papers 1911.05523, arXiv.org, revised Nov 2020.
    15. Ehsan Hajizadeh & Masoud Mahootchi, 2019. "Developing a Risk-Based Approach for American Basket Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1593-1612, April.
    16. Pingping Zeng & Yue Kuen Kwok, 2016. "Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1375-1391, September.
    17. Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Hasanjan Sayit, 2021. "A note on closed-form spread option valuation under log-normal models," Papers 2109.05431, arXiv.org, revised Feb 2024.
    18. Raj Kumari Bahl & Sotirios Sabanis, 2017. "General Price Bounds for Guaranteed Annuity Options," Papers 1707.00807, arXiv.org.
    19. Fontana, Claudio & Gnoatto, Alessandro & Szulda, Guillaume, 2023. "CBI-time-changed Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 323-349.
    20. Ping Wu & Robert J. Elliott, 2017. "A simple efficient approximation to price basket stock options with volatility smile," Annals of Finance, Springer, vol. 13(1), pages 1-29, February.
    21. Yu, Bo & Zhu, Hongmei & Wu, Ping, 2022. "The closed-form approximation to price basket options under stochastic interest rate," Finance Research Letters, Elsevier, vol. 46(PB).

  5. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, vol. 20(2), pages 267-320, April.
    See citations under working paper version above.
  6. De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
    See citations under working paper version above.
  7. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    See citations under working paper version above.
  8. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    See citations under working paper version above.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (4) 2020-05-11 2020-08-24 2021-05-24 2022-12-19
  2. NEP-RMG: Risk Management (4) 2012-01-18 2020-05-11 2020-08-24 2022-01-24
  3. NEP-BIG: Big Data (2) 2020-05-11 2020-08-24
  4. NEP-MON: Monetary Economics (2) 2013-03-02 2020-08-31
  5. NEP-ORE: Operations Research (2) 2020-08-24 2020-08-31
  6. NEP-CBA: Central Banking (1) 2013-03-02
  7. NEP-ECM: Econometrics (1) 2011-07-27
  8. NEP-GEN: Gender (1) 2020-05-11
  9. NEP-IFN: International Finance (1) 2013-03-02
  10. NEP-MAC: Macroeconomics (1) 2020-08-31

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