Alessandro Gnoatto

University of Verona - Department of Economics

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

28

DOWNLOADS
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SSRN RANKINGS

Top 19,634

in Total Papers Downloads

5,456

TOTAL CITATIONS
Rank 19,254

SSRN RANKINGS

Top 19,254

in Total Papers Citations

92

Scholarly Papers (28)

1.

Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting

Number of pages: 54 Posted: 20 Dec 2023 Last Revised: 26 Nov 2024
Alessandro Gnoatto and Silvia Lavagnini
University of Verona - Department of Economics and BI Norwegian Business School
Downloads 522 (111,821)

Abstract:

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HJM, FX, cross-currency basis, multiple curves, benchmark transition, SOFR, collateral

2.

Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework

Number of pages: 33 Posted: 03 Jun 2020 Last Revised: 06 Nov 2021
University of Verona - Department of Economics, University of Oxford - Oxford-Man Institute of Quantitative FinanceUniversity of Oxford - Mathematical Institute and University of Verona - Department of Economics
Downloads 483 (122,794)
Citation 19

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CVA, DVA, FVA, ColVA, xVA, EPE, Collateral, xVA hedging, Deep BSDE Solver

3.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 462 (129,440)
Citation 12

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Basket option, Lower Bound, Non Gaussian models, Upper Bound, Fourier Transform, Exotic option

4.

A General HJM Framework for Multiple Yield Curve Modeling

Number of pages: 40 Posted: 17 Jun 2014 Last Revised: 08 May 2015
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Independent, University of Padova, Department of Mathematics and University of Verona - Department of Economics
Downloads 380 (162,369)
Citation 13

Abstract:

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Multi-Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Discounting Curve, Affine Processes

5.

Smiles All Around: FX Joint Calibration in a Multi-Heston Model

Journal of Banking and Finance, Forthcoming
Number of pages: 34 Posted: 09 Jan 2012 Last Revised: 10 Apr 2014
Alvise De Col, Alessandro Gnoatto and Martino Grasselli
Independent, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 341 (182,901)
Citation 1

Abstract:

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Forex, Calibration, Multi-Heston model, triangular relation

6.

An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 43 Posted: 01 Mar 2013 Last Revised: 07 May 2014
Alessandro Gnoatto and Martino Grasselli
University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 323 (193,784)
Citation 4

Abstract:

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FX options, Hybrid models, longdated FX, Wishart process, Affine process, FFT

7.

Deep Quadratic Hedging

Number of pages: 52 Posted: 27 Dec 2022 Last Revised: 22 Nov 2024
Alessandro Gnoatto, Silvia Lavagnini and Athena Picarelli
University of Verona - Department of Economics, BI Norwegian Business School and University of Verona - Department of Economics
Downloads 287 (219,702)

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Deep hedging; Deep BSDE solver, Mean-variance hedging, Local risk minimization, Multidimensional Heston model

8.

Quantization of Stochastic Volatility Models: Numerical Tests and an Open Source Implementation

Number of pages: 26 Posted: 18 Feb 2024
Alessandro Fina, Alessandro Gnoatto and Athena Picarelli
University of Verona - Department of Economics, University of Verona - Department of Economics and University of Verona - Department of Economics
Downloads 264 (239,133)

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Quantization, stochastic volatility, option pricing, Monte Carlo

9.

A unified approach to xVA with CSA discounting and initial margin

Number of pages: 37 Posted: 12 Jun 2019 Last Revised: 03 Mar 2021
Francesca Biagini, Alessandro Gnoatto and Immacolata Oliva
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and University of Verona - Department of Computer Science
Downloads 234 (270,695)
Citation 7

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CVA, DVA, FVA, CollVA, xVA, EPE, PFE, Basel III, Collateral

10.

Analytic Pricing of Volatility-Equity Options within Affine Models: An Efficient Conditioning Technique

Number of pages: 26 Posted: 24 Apr 2014 Last Revised: 16 Jan 2015
José Da Fonseca, Alessandro Gnoatto and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 212 (296,268)
Citation 5

Abstract:

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Finance, Target Volatility Options, Corridor Variance Swap, Double Digital Call, Affine Stochastic Volatility Models

11.

A Change of Measure Formula for Recursive Conditional Expectations

Number of pages: 28 Posted: 18 Nov 2021 Last Revised: 22 Apr 2024
Luca Di Persio, Alessandro Gnoatto and Marco Patacca
University of Verona - Department of Computer Science, University of Verona - Department of Economics and University of Verona - Department of Economics
Downloads 200 (312,896)

Abstract:

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Change of measure, change of numéraire, BSDE, recursive conditional expectation, non-linear pricing

12.

Coherent Foreign Exchange Market Models

Number of pages: 21 Posted: 23 Jan 2013 Last Revised: 23 Jan 2015
Alessandro Gnoatto
University of Verona - Department of Economics
Downloads 189 (329,567)
Citation 1

Abstract:

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FX Options, foreign-domestic symmetry

13.

A deep solver for BSDEs with jumps

Number of pages: 33 Posted: 23 Nov 2022 Last Revised: 08 Nov 2024
University of Verona - Department of Economics, University of Verona - Department of Economics, University of Verona - Department of Economics and University of Verona - Department of Economics
Downloads 179 (346,304)
Citation 2

Abstract:

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BSDE with jumps, Deep BSDE Solver, Neural Networks

14.

Affine Multiple Yield Curve Models

Number of pages: 39 Posted: 28 Dec 2016 Last Revised: 16 Apr 2018
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Independent, University of Padova, Department of Mathematics and University of Verona - Department of Economics
Downloads 172 (360,326)
Citation 10

Abstract:

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Multiple yield curves, Libor rate, forward rate agreement, multiplicative spread, affine processes

15.

Cross Currency Valuation and Hedging in the Multiple Curve Framework

Number of pages: 42 Posted: 25 Feb 2020 Last Revised: 16 Mar 2021
Alessandro Gnoatto and Nicole Seiffert
University of Verona - Department of Economics and affiliation not provided to SSRN
Downloads 166 (369,787)
Citation 2

Abstract:

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FX, cross-currency basis, multiple curves, FVA, CollVA, Basel III, Collateral

16.

The Wishart Short-Rate Model

International Journal of Theoretical and Applied Finance, Vol. 15, No. 8, 2012
Number of pages: 26 Posted: 29 Mar 2012 Last Revised: 07 May 2014
Alessandro Gnoatto
University of Verona - Department of Economics
Downloads 143 (418,740)

Abstract:

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Yield curve shapes, Wishart processes, Affine processes, Zero-coupon bond

17.

The Explicit Laplace Transform for the Wishart Process

Journal of Applied Probability, Forthcoming
Number of pages: 18 Posted: 15 Jul 2011 Last Revised: 20 Aug 2013
Alessandro Gnoatto and Martino Grasselli
University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 138 (430,576)
Citation 5

Abstract:

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Affine Processes, Wishart Process, ODE, Laplace Transform

18.

A Flexible Matrix Libor Model with Smiles

Number of pages: 34 Posted: 23 Mar 2012
Alessandro Gnoatto, Martino Grasselli and José Da Fonseca
University of Verona - Department of Economics, University of Padova - Department of Mathematics and Auckland University of Technology - Faculty of Business & Law
Downloads 123 (471,314)

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Affine processes, Wishart process, Libor market model, Fast Fourier Transform, Caps, Floors, Swaptions

19.

A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds

Number of pages: 42 Posted: 18 Aug 2016
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
University of Verona - Department of Economics, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 98 (556,158)
Citation 4

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Forex, benchmark approach, benchmarked risk minimization, stochastic volatility, long term securities

20.

Multiple Yield Curve Modelling With CBI Processes

Number of pages: 29 Posted: 18 Nov 2019
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
University of Padova, Department of Mathematics, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 95 (567,451)
Citation 5

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Branching Process, Self-Exciting Process, Multi-Curve Model, Interest Rate, Libor Rate, OIS Rate, Multiplicative Spread, Affine Process

21.

The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates

Number of pages: 30 Posted: 03 Jul 2015 Last Revised: 25 Sep 2015
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 87 (598,954)
Citation 1

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Term Structure, Overnight Indexed Swap, Long-Term Yield, Long-Term Simple Rate, Long-Term Swap Rate

22.

CBI-time-changed Lévy processes for multi-currency modeling

Number of pages: 24 Posted: 11 Feb 2022
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
University of Padova, Department of Mathematics, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 85 (607,423)

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FX market, multi-currency market, branching process, self-exciting process, time-change, stochastic volatility, deep calibration, affine process

23.

Convergence of a Deep BSDE Solver with Jumps

Number of pages: 33 Last Revised: 16 Jan 2025
Alessandro Gnoatto, Katharina Oberpriller and Athena Picarelli
University of Verona - Department of Economics, affiliation not provided to SSRN and University of Verona - Department of Economics
Downloads 74

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Forward-backward SDE, Jump diffusion, Deep learning, PIDE, Neural Network

24.

Long-Term Yield in an Affine HJM Framework on Sd+

Number of pages: 30 Posted: 25 Jun 2015
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 60 (729,985)

Abstract:

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HJM, Affine Process, Long-Term Yield, Yield Curve, Wishart Process.

25.

When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization

Number of pages: 33
Francesca Biagini, Alessandro Gnoatto and Katharina Oberpriller
University of Bologna - Department of Mathematics, University of Verona - Department of Economics and affiliation not provided to SSRN
Downloads 51

Abstract:

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market incompleteness, CVA, DVA, FVA, CollVA, xVA, Collateral

26.

CBI-Time-Changed Lévy Processes

Number of pages: 24 Posted: 01 Jun 2022
Claudio Fontana, Alessandro Gnoatto and Guillaume Szulda
University of Padova, Department of Mathematics, University of Verona - Department of Economics and University Paris Diderot, Sorbonne Paris Cité
Downloads 48 (808,124)
Citation 1

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Branching process; change of time; affine process; stochastic volatility; moment explosion.

27.

A Fully Quantization-based Scheme for FBSDEs

Number of pages: 22 Posted: 10 May 2021
University of PaduaUniversity of Padua, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 40 (870,265)

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FBSDEs, Quantization, Numerical Scheme

28.

General Analysis of Long-Term Interest Rates

Electronic version of an article published as [International Journal of Theoretical and Applied Finance, Volume 23, Number 1, 2020, 29 pages] [DOI/10.1142/S0219024920500028] © [copyright World Scientific Publishing Company]
Posted: 16 Feb 2021
Francesca Biagini, Alessandro Gnoatto and Maximilian Härtel
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, University of Verona - Department of Economics and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics

Abstract:

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Term structure, overnight indexed swap, long-term yield, long-term simple rate, long-term swap rate