Alessandro Gnoatto

University of Verona - Department of Economics

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

15

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CITATIONS
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49

Scholarly Papers (15)

1.

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 341 (86,399)
Citation 9

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

2.

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, Université Paris VII Denis Diderot and University of Verona - Department of Economics
Downloads 266 (113,055)
Citation 11

Abstract:

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

3.

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 266 (113,055)
Citation 16

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Forex, Calibration, Multi-Heston model, triangular relation

4.

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 242 (124,580)
Citation 7

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

5.

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 162 (180,809)
Citation 7

Abstract:

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

6.

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 140 (204,034)

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FX Options, foreign-domestic symmetry

7.

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, Université Paris VII Denis Diderot and University of Verona - Department of Economics
Downloads 101 (259,953)
Citation 5

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

8.

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 89 (282,027)
Citation 6

Abstract:

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Affine Processes, Wishart Process, ODE, Laplace Transform

9.

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 80 (301,043)
Citation 5

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

10.

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 58 (357,817)
Citation 8

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

11.

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 48 (389,920)
Citation 1

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

12.

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 - Faculty of Mathematics
Downloads 45 (400,311)

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

13.

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 - Faculty of Mathematics
Downloads 25 (486,502)
Citation 1

Abstract:

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

14.

Pricing of Counterparty Risk and Funding With CSA Discounting, Portfolio Effects and Initial Margin

Number of pages: 39 Posted: 12 Jun 2019 Last Revised: 30 Jun 2019
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 12 (561,473)

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

15.

Affine Multiple Yield Curve Models

Mathematical Finance, Vol. 29, Issue 2, pp. 568-611, 2019
Number of pages: 44 Posted: 13 Mar 2019
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
University of Vienna - Faculty of Science and Mathematics, Université Paris VII Denis Diderot and University of Verona - Department of Economics
Downloads 1 (642,649)
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Abstract:

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