Alessandro Gnoatto

University of Verona - Department of Economics

Via dell'Artigliere, 8

37129 Verona

Italy

  • University of Verona - Department of Economics

SCHOLARLY PAPERS

24

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45

CROSSREF CITATIONS

18

Scholarly Papers (24)

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1.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Ruggero Caldana, Gianluca Fusai, Alessandro Gnoatto and Martino Grasselli
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 422 (116,755)
Citation 12

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

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
Alessandro Gnoatto, Christoph Reisinger, Christoph Reisinger and Athena Picarelli
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 380 (131,704)
Citation 5

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

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 337 (150,166)
Citation 13

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

4.

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 314 (161,900)
Citation 1

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Forex, Calibration, Multi-Heston model, triangular relation

5.

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 288 (177,322)
Citation 4

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

6.

Deep Quadratic Hedging

Number of pages: 43 Posted: 27 Dec 2022
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 245 (208,435)

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

7.

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 192 (261,937)
Citation 4

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

8.

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 170 (291,445)
Citation 5

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

9.

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 170 (291,445)
Citation 1

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FX Options, foreign-domestic symmetry

10.

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 144 (334,535)
Citation 10

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

11.

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 127 (368,606)
Citation 5

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Affine Processes, Wishart Process, ODE, Laplace Transform

12.

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 124 (375,237)
Citation 2

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

13.

A DEEP SOLVER FOR BSDES WITH JUMPS

Number of pages: 31 Posted: 23 Nov 2022
Alessandro Gnoatto, Marco Patacca and Athena Picarelli
University of Verona - Department of Economics, University of Verona - Department of Economics and University of Verona - Department of Economics
Downloads 113 (401,589)

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BSDE with jumps, Deep BSDE Solver, Neural Networks

14.

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 110 (409,573)

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

15.

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 94 (456,171)

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

16.

A Change of Measure Formula for Recursive Conditional Expectations

Number of pages: 25 Posted: 18 Nov 2021 Last Revised: 14 Jul 2022
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 80 (503,705)

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

17.

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 79 (507,353)
Citation 2

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

18.

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 75 (522,792)
Citation 1

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

19.

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 73 (530,859)
Citation 5

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

20.

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 69 (547,447)

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

21.

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 46 (662,651)

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

22.

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 33 (748,503)

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

23.

A Fully Quantization-based Scheme for FBSDEs

Number of pages: 22 Posted: 10 May 2021
Giorgia Callegaro, Giorgia Callegaro, Alessandro Gnoatto and Martino Grasselli
University of PaduaUniversity of Padua, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 24 (820,145)

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FBSDEs, Quantization, Numerical Scheme

24.

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