Marco Bianchetti

Intesa Sanpaolo - Financial and Market Risk Management

Piazza P. Ferrari 10

Milan, 20121

Italy

University of Bologna

Piazza Scaravilli 2

Bologna, 40100

Italy

SCHOLARLY PAPERS

12

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CITATIONS
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Top 19,352

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16

Scholarly Papers (12)

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016
Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management
Downloads 7,275 (558)
Citation 12

Abstract:

liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, interest rate derivatives, FRAs, swaps, basis swaps, caps, floors, swaptions, basis adjustment, quanto adjustment, measure changes, no arbitrage, QuantLib

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Risk Magazine, August 2010
Posted: 15 Sep 2011
Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management

Abstract:

liquidity, crisis, counterparty risk, yield curve, forward curve, discount curve, pricing, hedging, interest rate derivatives, swaps, basis swaps, caps, floors, swaptions, basis adjustment, quanto adjustment, measure changes, no arbitrage, QuantLib, FRAs

2.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Ferdinando M. Ametrano and Marco Bianchetti
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 3,487 (581)
Citation 1

Abstract:

crisis, crunch, liquidity, funding, credit, counterparty risk, collateral, CSA, Libor, Euribor, Eonia, yield curve, discount curve, bootstrapping, no-arbitrage, pricing, hedging, derivatives, Deposit, FRA, Future, Swap, IRS, OIS, Basis Swap, turn of year, spline, Greeks, sensitivity, QuantLib

Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR

Number of pages: 26 Posted: 14 Mar 2011 Last Revised: 03 Apr 2012
Marco Bianchetti and Mattia Carlicchi
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Market Risk Management
Downloads 1,153 (13,278)
Citation 2

Abstract:

crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, volatility surface, collateral, CSA discounting, no arbitrage, pricing, interest rate derivative

Interest Rates After the Credit Crunch: Multiple Curve Vanilla Derivatives and SABR

Capco Journal of Financial Transformation, Applied Finance, No. 32, August 2011
Posted: 19 Sep 2011
Marco Bianchetti and Mattia Carlicchi
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Market Risk Management

Abstract:

crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, volatility surface, collateral, CSA discounting, no arbitrage, pricing, interest rate derivative

4.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

Number of pages: 28 Posted: 10 Jul 2013
Alexandre Antonov, Marco Bianchetti and Ion Mihai
Numerix, Intesa Sanpaolo - Financial and Market Risk Management and Numerix
Downloads 794 (14,286)
Citation 1

Abstract:

crisis, crunch, funding, collateral, CSA, derivative, repo, no arbitrage, pricing, hedging, replication, PDE, non-linear PDE, SDE, Swap, Bermudan, Swaption, callabl,e Feynman-Kac, OIS, discounting, funding value adjustment, FVA

5.

The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management

Number of pages: 22 Posted: 31 Oct 2011 Last Revised: 29 Oct 2012
Marco Bianchetti
Intesa Sanpaolo - Financial and Market Risk Management
Downloads 454 (44,909)

Abstract:

crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, forward curve, discount curve, single curve, multiple curve, collateral, CSA- discounting, liquidity, funding, no arbitrage, pricing, interest rate derivatives, Deposit, FRA, Swap, OIS, Basis Swap

6.

Markets Evolution after the Credit Crunch

Number of pages: 35 Posted: 28 Jan 2013
Marco Bianchetti and Mattia Carlicchi
Intesa Sanpaolo - Financial and Market Risk Management and Intesa Sanpaolo - Market Risk Management
Downloads 276 (70,876)

Abstract:

crisis, liquidity, credit, counterparty, risk, fixed income, Libor, Euribor, Eonia, yield curve, collateral, CSA discounting, no arbitrage, pricing, interest rate derivatives, FRA, swap, OIS, basis swap, CDS spread, ECB monetary policy, ISDA

7.

ETD vs. OTCD: Counterparty Risk and Capital Requirements for Exchange Traded Derivatives

Number of pages: 33 Posted: 25 Sep 2014 Last Revised: 08 Oct 2014
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo - Market Risk Management, Intesa SanPaolo SpA, Intesa SanPaolo SpA and Intesa Sanpaolo - Internal Validation
Downloads 141 (84,496)

Abstract:

ETD, exchange traded derivatives, OTC, Over The Counter, derivatives, FRA, Futures, counterparty risk, exposure, collateral, CSA, margin, capital, Internal Model Method, IMM, Current Exposure Method, CEM, Risk Weighted Assets, RWA, Exposure at Default, EAD

8.

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis

Number of pages: 43 Posted: 11 Apr 2015
Marco Bianchetti, Sergei Kucherenko and Stefano Scoleri
Intesa Sanpaolo - Financial and Market Risk Management, Imperial College London - Faculty of Engineering and Iason Ltd.
Downloads 124 (66,748)

Abstract:

derivative, option, European, Asian, barrier, knock-out, cliquet, greeks, Brownian bridge, global sensitivity analysis, Monte Carlo, Quasi Monte Carlo, random, pseudo random, quasi random, low discrepancy, Sobol', convergence, speed-up

9.

Application of Quasi Monte Carlo and Global Sensitivity Analysis to Option Pricing and Greeks

Number of pages: 48 Posted: 06 Feb 2017
Stefano Scoleri, Marco Bianchetti and Sergei Kucherenko
Iason Ltd., Intesa Sanpaolo - Financial and Market Risk Management and Imperial College London - Faculty of Engineering
Downloads 0 (241,366)

Abstract:

derivative, option, European, Asian, barrier, knock-out, cliquet, greeks, Monte Carlo, Quasi Monte Carlo, random, pseudo random, quasi random, low discrepancy, Sobol', convergence, speed-up, Brownian bridge, global sensitivity analysis, principal component analysis, AAD

10.

Brexit or Bremain? Evidence from Bubble Analysis

Number of pages: 10 Posted: 23 Jun 2016
Intesa Sanpaolo - Financial and Market Risk Management, Dipartimento di Fisica, Università degli Studi di Milano, Intesa Sanpaolo-Financial and Market Risk Management, Dipartimento di Fisica, Università degli Studi di Milano and Dipartimento di Fisica, Università degli Studi di Milano
Downloads 0 (52,485)

Abstract:

JLS, Johansen-Ledoit-Sornette, Bubble, Crash, Crisis, Brexit, Bremain, UK, UE, Referendum, Forecast, Polls, Odds, Historical Series, Super-Exponential, Log-Periodic Power Law, LPPL, Calibration, Genetic Algorithm, Fit

11.

Prudent Valuation Guidelines and Sound Practices

Number of pages: 148 Posted: 16 Jun 2016 Last Revised: 19 Jun 2016
Marco Bianchetti and Umberto Cherubini
Intesa Sanpaolo - Financial and Market Risk Management and University of Bologna - Department of Statistics
Downloads 0 (119,454)

Abstract:

AIFIRM, CRR, EBA, AVA, Additional Valuation Adjustments, prudent valuation, fair valuation, valuation uncertainty, valuation risk, ambiguity, liquidity, correlation, market price uncertainty, close out cost, model risks, unearned credit spread, investing and funding cost, concentrated position

12.

Bootstrapping the Illiquidity: Multiple Yield Curves Construction for Market Coherent Forward Rates Estimation

MODELING INTEREST RATES, Fabio Mercurio, ed., Risk Books, Incisive Media, May 2009
Posted: 02 Apr 2009 Last Revised: 15 Jun 2016
Ferdinando M. Ametrano and Marco Bianchetti
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management

Abstract:

Liquidity crisis, credit crunch, interest rates, yield curve, forward curve, discount curve, bootstrapping, pricing, hedging, interest rate derivatives, Deposit, FRA, Futures, Swap, Basis Swap, turn of year, spline, QuantLib