Alessandro Gnoatto

University of Verona - Department of Economics

Via dell'Artigliere, 8

37129 Verona

Italy

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 24,698

SSRN RANKINGS

Top 24,698

in Total Papers Downloads

2,097

SSRN CITATIONS
Rank 23,534

SSRN RANKINGS

Top 23,534

in Total Papers Citations

22

CROSSREF CITATIONS

14

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 (89,571)
Citation 11

Abstract:

Loading...

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

2.

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 279 (118,870)
Citation 1

Abstract:

Loading...

Forex, Calibration, Multi-Heston model, triangular relation

3.

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 274 (121,160)
Citation 13

Abstract:

Loading...

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

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 (132,669)
Citation 1

Abstract:

Loading...

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 169 (191,799)
Citation 4

Abstract:

Loading...

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 147 (215,660)

Abstract:

Loading...

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 (275,887)
Citation 10

Abstract:

Loading...

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 99 (288,950)
Citation 5

Abstract:

Loading...

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 (320,532)

Abstract:

Loading...

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 66 (367,307)

Abstract:

Loading...

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 52 (412,205)
Citation 1

Abstract:

Loading...

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 (LMU) - Faculty of Mathematics
Downloads 51 (415,676)

Abstract:

Loading...

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

13.

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 44 (441,975)
Citation 2

Abstract:

Loading...

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

14.

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 32 (494,650)

Abstract:

Loading...

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

15.

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 31 (499,562)

Abstract:

Loading...

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

16.

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 (510,000)

Abstract:

Loading...

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

17.

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

Number of pages: 22 Posted: 03 Jun 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 21 (557,106)

Abstract:

Loading...

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

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 (702,586)
  • Add to Cart

Abstract:

Loading...

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