Alessandro Gnoatto

Independent

No Address Available

SCHOLARLY PAPERS

13

DOWNLOADS
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CITATIONS
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Top 36,292

in Total Papers Citations

5

Scholarly Papers (13)

1.

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 Independent
Downloads 207 (100,179)

Abstract:

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

2.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Accenture SPA, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, Independent and University of Padova - Department of Mathematics
Downloads 196 (78,925)
Citation 1

Abstract:

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

3.

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
Independent and University of Padova - Department of Mathematics
Downloads 188 (115,334)

Abstract:

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

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, Independent and University of Padova - Department of Mathematics
Downloads 183 (104,087)

Abstract:

Forex, Calibration, Multi-Heston model, triangular relation

5.

Coherent Foreign Exchange Market Models

Number of pages: 21 Posted: 23 Jan 2013 Last Revised: 23 Jan 2015
Alessandro Gnoatto
Independent
Downloads 112 (181,577)

Abstract:

FX Options, foreign-domestic symmetry

6.

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, Independent and University of Padova - Department of Mathematics
Downloads 80 (171,459)

Abstract:

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

7.

A Flexible Matrix Libor Model with Smiles

Number of pages: 34 Posted: 23 Mar 2012
Alessandro Gnoatto, Martino Grasselli and José Da Fonseca
Independent, University of Padova - Department of Mathematics and Auckland University of Technology - Faculty of Business & Law
Downloads 67 (268,733)

Abstract:

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

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
Independent and University of Padova - Department of Mathematics
Downloads 64 (254,859)
Citation 2

Abstract:

Affine Processes, Wishart Process, ODE, Laplace Transform

9.

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
Independent
Downloads 45 (327,047)
Citation 2

Abstract:

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

10.

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, Independent and Ludwig Maximilian University of Munich - Department of Mathematics
Downloads 22 (364,573)

Abstract:

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

11.

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, Independent and Ludwig Maximilian University of Munich - Department of Mathematics
Downloads 11 (451,472)

Abstract:

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

12.

Affine Multiple Yield Curve Models

Number of pages: 34 Posted: 28 Dec 2016
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Independent, Université Paris VII Denis Diderot and Independent
Downloads 0 (252,967)

Abstract:

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

13.

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
Independent, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - School of Finance and Economics
Downloads 0 (354,545)

Abstract:

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