Via dell'Artigliere, 8
37129 Verona
Italy
University of Verona - Department of Economics
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
HJM, FX, cross-currency basis, multiple curves, benchmark transition, SOFR, collateral
CVA, DVA, FVA, ColVA, xVA, EPE, Collateral, xVA hedging, Deep BSDE Solver
Basket option, Lower Bound, Non Gaussian models, Upper Bound, Fourier Transform, Exotic option
Multi-Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Discounting Curve, Affine Processes
Forex, Calibration, Multi-Heston model, triangular relation
FX options, Hybrid models, longdated FX, Wishart process, Affine process, FFT
Deep hedging; Deep BSDE solver, Mean-variance hedging, Local risk minimization, Multidimensional Heston model
Quantization, stochastic volatility, option pricing, Monte Carlo
CVA, DVA, FVA, CollVA, xVA, EPE, PFE, Basel III, Collateral
Finance, Target Volatility Options, Corridor Variance Swap, Double Digital Call, Affine Stochastic Volatility Models
Change of measure, change of numéraire, BSDE, recursive conditional expectation, non-linear pricing
FX Options, foreign-domestic symmetry
BSDE with jumps, Deep BSDE Solver, Neural Networks
Multiple yield curves, Libor rate, forward rate agreement, multiplicative spread, affine processes
FX, cross-currency basis, multiple curves, FVA, CollVA, Basel III, Collateral
Yield curve shapes, Wishart processes, Affine processes, Zero-coupon bond
Affine Processes, Wishart Process, ODE, Laplace Transform
Affine processes, Wishart process, Libor market model, Fast Fourier Transform, Caps, Floors, Swaptions
Forex, benchmark approach, benchmarked risk minimization, stochastic volatility, long term securities
Branching Process, Self-Exciting Process, Multi-Curve Model, Interest Rate, Libor Rate, OIS Rate, Multiplicative Spread, Affine Process
Term Structure, Overnight Indexed Swap, Long-Term Yield, Long-Term Simple Rate, Long-Term Swap Rate
FX market, multi-currency market, branching process, self-exciting process, time-change, stochastic volatility, deep calibration, affine process
Forward-backward SDE, Jump diffusion, Deep learning, PIDE, Neural Network
HJM, Affine Process, Long-Term Yield, Yield Curve, Wishart Process.
market incompleteness, CVA, DVA, FVA, CollVA, xVA, Collateral
Branching process; change of time; affine process; stochastic volatility; moment explosion.
FBSDEs, Quantization, Numerical Scheme
Term structure, overnight indexed swap, long-term yield, long-term simple rate, long-term swap rate