Alessandro Gnoatto

University of Verona - Department of Economics

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

18

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2,157

SSRN CITATIONS
Rank 23,483

SSRN RANKINGS

Top 23,483

in Total Papers Citations

23

CROSSREF CITATIONS

15

Scholarly Papers (18)

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 361 (92,150)
Citation 12

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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, University of Padova, Department of Mathematics and University of Verona - Department of Economics
Downloads 283 (120,395)
Citation 13

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 280 (121,755)
Citation 1

Abstract:

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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 251 (136,396)
Citation 1

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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 170 (195,851)
Citation 4

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 149 (218,878)

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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, University of Padova, Department of Mathematics and University of Verona - Department of Economics
Downloads 106 (282,939)
Citation 10

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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 101 (292,482)
Citation 5

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 84 (328,732)

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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 67 (373,639)

Abstract:

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

11.

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

Number of pages: 42 Posted: 12 Jun 2019 Last Revised: 14 Apr 2020
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 57 (405,262)
Citation 2

Abstract:

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

12.

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 53 (418,974)
Citation 1

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

13.

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 52 (422,492)
Citation 1

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

14.

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

Number of pages: 25 Posted: 03 Jun 2020 Last Revised: 25 Aug 2020
Alessandro Gnoatto, Christoph Reisinger and Athena Picarelli
University of Verona - Department of Economics, University of Oxford - Oxford-Man Institute of Quantitative Finance and University of Verona - Department of Economics
Downloads 46 (445,030)

Abstract:

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

15.

Cross Currency Valuation and Hedging in the Multiple Curve Framework

Number of pages: 38 Posted: 25 Feb 2020
Alessandro Gnoatto and Nicole Seiffert
University of Verona - Department of Economics and affiliation not provided to SSRN
Downloads 35 (492,367)
Citation 1

Abstract:

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

16.

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 32 (507,034)

Abstract:

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

17.

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 29 (522,662)

Abstract:

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

18.

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 (720,469)
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Abstract:

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