Andrea Pallavicini

Banca IMI

Head of Equity, FX and Commodity Models

Largo Mattioli 3

Milan, MI 20121

Italy

Imperial College London - Department of Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

  • Banca IMI

  • Imperial College London - Department of Mathematics

SCHOLARLY PAPERS

34

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59

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317

Scholarly Papers (34)

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1.

Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Banca IMI
Downloads 2,607 (5,595)
Citation 8

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swaption, CMS, volatility smile, volatility skew, convexity adjustment, SABR, stochastic volatility, calibration

2.

Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default

Number of pages: 19 Posted: 23 Aug 2006 Last Revised: 31 Mar 2008
Damiano Brigo and Andrea Pallavicini
Imperial College London - Department of Mathematics and Banca IMI
Downloads 1,922 (9,318)
Citation 29

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counterparty risk, contingent credit default swap, hybrid products, interest-rate default correlation, risk-neutral valuation, default risk, interest-rate models, default intensity models

3.

Interest-Rate Modeling with Multiple Yield Curves

Number of pages: 27 Posted: 26 Jun 2010
Andrea Pallavicini and Marco Tarenghi
Banca IMI and Mediobanca
Downloads 1,639 (12,057)
Citation 30

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Yield Curve Bootstrap, Yield Curve Interpolation, Discounting Curve, Multi-Curve Framework, Gaussian Models, HJM Framework, Interest Rate Derivatives, Basis Swaps, CMS Swaps, CMS Spread Options, Counterparty Risk, Liquidity Risk

4.

Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation

Number of pages: 23 Posted: 07 Dec 2011
Andrea Pallavicini, Daniele Perini and Damiano Brigo
Banca IMI, Mediobanca and Imperial College London - Department of Mathematics
Downloads 1,245 (18,431)
Citation 52

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funding cost, cost of funding, bilateral counterparty risk, credit valuation adjustment, debt valuation adjustment, collateral modeling, margining cost, close-out, re-hypothecation, default correlation

5.

Implied Correlation in CDO Tranches: A Paradigm to be Handled with Care

Number of pages: 9 Posted: 25 Nov 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Banco Popolare, Imperial College London - Department of Mathematics and Banca IMI
Downloads 1,226 (18,867)
Citation 8

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Implied Correlation, Base Correlation, Compound Correlation, Expected Tranche Loss, DJ iTraxx, CDX, CDO Tranche, Back-Test, No-Arbitrage Conditions

6.

Risk Neutral Versus Objective Loss Distribution and CDO Tranches Valuation

Number of pages: 15 Posted: 14 May 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Banco Popolare, Imperial College London - Department of Mathematics and Banca IMI
Downloads 1,098 (22,269)
Citation 11

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Default Rate distribution, CDO, CDO tranches, Perfect Copula, Transition Matrices, Rating Classes, Risk Premium, Recovery Rate

7.

Credit Models and the Crisis, or: How I Learned to Stop Worrying and Love the CDOs

Number of pages: 66 Posted: 31 Dec 2009 Last Revised: 18 Feb 2010
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Banca IMI and Banco Popolare
Downloads 1,000 (25,535)
Citation 5

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Credit Crisis, Credit Derivatives, Gaussian Copula Model, Implied Correlation, Base Correlation, Compound Correlation, Implied Copula, Dynamic Loss Model, GPL Model, Arbitrage Free Models, Collateralized Debt Obligations, DJi-Traxx and CDX Tranches, CDO Tranche Calibration

8.

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-Hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?

Number of pages: 56 Posted: 01 Dec 2013 Last Revised: 10 Dec 2013
Damiano Brigo and Andrea Pallavicini
Imperial College London - Department of Mathematics and Banca IMI
Downloads 961 (26,990)
Citation 2

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CCPs, Central Clearing, CSA, Credit Risk, Collateral, Funding Costs Valuation, Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial Margin, Variation Margin, Multiple Discount Curves, FVA

9.

Mixing Gaussian Models to Price Cms Derivatives

Number of pages: 13 Posted: 29 Dec 2005
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Banca IMI
Downloads 924 (28,620)
Citation 3

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swaption, CMS, volatility smile, volatility skew, convexity adjustment, Gaussian model, Hull and White model, stochastic volatility, uncertain volatility, calibration

10.

Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments

Number of pages: 38 Posted: 14 Oct 2012 Last Revised: 12 Dec 2012
Andrea Pallavicini, Daniele Perini and Damiano Brigo
Banca IMI, Mediobanca and Imperial College London - Department of Mathematics
Downloads 878 (30,771)
Citation 39

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Funding Cost, Cost of Funding, Bilateral Counterparty Risk, Credit Valuation Adjustment, Debit Valuation Adjustment, Collateral Modeling, Margining Cost, Close-Out, Re-hypothecation, Default Correlation, Gap Risk, Central Counterparty

11.

Interest-Rate Modelling in Collateralized Markets: Multiple Curves, Credit-Liquidity Effects, CCPs

Number of pages: 25 Posted: 04 Apr 2013
Andrea Pallavicini and Damiano Brigo
Banca IMI and Imperial College London - Department of Mathematics
Downloads 735 (39,227)
Citation 18

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Central Clearing Counterparties

12.

Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model

Number of pages: 35 Posted: 11 May 2006 Last Revised: 30 Apr 2010
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Banca IMI and Banco Popolare
Downloads 732 (39,489)
Citation 49

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Loss Distribution, Loss Dynamics, Calibration, CDO Tranches and Tranchelets, Generalized Poisson Processes, Gamma intensity, Spread Dynamics

13.

Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment Including Re-Hypotecation and Netting

Number of pages: 39 Posted: 20 Jan 2011
Damiano Brigo, Agostino Capponi, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Columbia University, Banca IMI and Barclays Capital
Downloads 610 (50,344)
Citation 39

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Counterparty Risk, Bilateral CVA, Collateral Management, Collateral Re-Hypothecation, Close-Out Amount, Margining Procedure, Netting Rules, Hybrid Products, Correlation, Risk Neutral Valuation, Default Risk, Interest Rate Models, Default Intensity Models

14.

CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins Under Credit, Funding and Wrong-Way Risks: A Unified Valuation Approach

Number of pages: 52 Posted: 17 Jan 2014
Damiano Brigo and Andrea Pallavicini
Imperial College London - Department of Mathematics and Banca IMI
Downloads 588 (52,822)
Citation 13

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Central Counterparty Clearing, Credit Support Annex, ISDA, Interest Rate Derivatives, Funding Costs, Bilateral Counterparty Risk, Credit Valuation Adjustment, CVA, Collateral Modeling, Initial Margin, Variation Margin, Close-Out, Re-hypothecation, Gap Risk, Margin Period of Risk, Backward Stochastic

15.

Bilateral Counterparty Risk Valuation for Interest-Rate Products: Impact of Volatilities and Correlations

Number of pages: 23 Posted: 17 Nov 2009 Last Revised: 04 Feb 2010
Damiano Brigo, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Banca IMI and Barclays Capital
Downloads 553 (57,012)
Citation 24

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Counterparty Risk, Arbitrage-Free Credit Valuation Adjustment, Interest Rate Swaps, Interest Rate Derivatives, Credit Valuation Adjustment, Bilateral Risk, Credit Spread Volatility, Default Correlation, Stochastic Intensity, Short Rate Models, Copula Functions, Wrong Way Risk

16.

Implied Expected Tranched Loss Surface from CDO Data

Number of pages: 13 Posted: 28 Sep 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Banco Popolare, Imperial College London - Department of Mathematics and Banca IMI
Downloads 506 (63,765)
Citation 17

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expected tranche loss, loss surface, implied correlation, CDO, tranches, interpolation

17.

Nonlinear Valuation Under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes

Veronesi, P. (Editor), Handbook in Fixed-Income Securities, Wiley, 2014
Number of pages: 28 Posted: 29 Apr 2014
Damiano Brigo, Qing Liu, Andrea Pallavicini and David Sloth
Imperial College London - Department of Mathematics, Imperial College London-Department of Mathematics, Banca IMI and Danske Bank - Danske Markets
Downloads 483 (67,668)
Citation 1

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Credit Valuation Adjustment, Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Derivatives Pricing, CVA, DVA, LVA, FVA, NVA, Funding-DVA, semi-linear PDE, BSDE, Nonlinear Valuation, Nonlinear Feynman-Kac, Least-squares Monte

18.

Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics

Number of pages: 25 Posted: 29 Oct 2010 Last Revised: 07 May 2013
Nicola Moreni and Andrea Pallavicini
Banca IMI and Banca IMI
Downloads 390 (87,113)
Citation 19

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Yield Curve Dynamics, Multi-Curve Framework, Gaussian Models, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Risk, Liquidity Risk

19.

Illustrating a Problem in the Self-Financing Condition in Two 2010-2011 Papers on Funding, Collateral and Discounting

Number of pages: 8 Posted: 10 Jul 2012 Last Revised: 17 Jul 2012
Damiano Brigo, Cristin Buescu, Andrea Pallavicini and Qing Liu
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Banca IMI and Imperial College London-Department of Mathematics
Downloads 380 (90,379)
Citation 16

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Funding cost, cost of funding, funding and discounting, self-financing strategy, trading strategies, hedging

20.

Stressing Rating Criteria Allowing for Default Clustering: the CPDO case

Number of pages: 37 Posted: 15 Jan 2008 Last Revised: 09 Sep 2009
Roberto Torresetti and Andrea Pallavicini
Banco Popolare and Banca IMI
Downloads 309 (113,257)
Citation 2

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CPDO Rating, Rating Arbitrage, Structured Finance, Loss Distribution, Loss Dynamics, Cluster Default Dynamics, Gap Risk

21.

Default Correlation, Cluster Dynamics and Single Names: The GPCL Dynamical Loss Model

Number of pages: 35 Posted: 14 Jan 2007
Damiano Brigo, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Banca IMI and Banco Popolare
Downloads 270 (130,690)
Citation 6

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Loss Distribution, Loss Dynamics, Single Name Default Dynamics, Cluster Default Dynamics, Calibration, Generalized Poisson Process, Stochastic Intensity, Spread Dynamics, Common Poisson Shock Models

22.

FX Modelling in Collateralized Markets: Foreign Measures, Basis Curves, and Pricing Formulae

Number of pages: 33 Posted: 19 Aug 2015 Last Revised: 17 Sep 2015
Nicola Moreni and Andrea Pallavicini
Banca IMI and Banca IMI
Downloads 237 (148,804)
Citation 1

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Arbitrage-Free Pricing, Collateral, Collateral Convexity, Funding Costs, Funding Policy, Foreign Currency, FX Market, FX Swap, Cross-Currency Swap, Curve Boot- strapping, Multiple Currencies, Currency Triplets

23.

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Number of pages: 28 Posted: 31 Jul 2015 Last Revised: 14 Sep 2015
Giacomo Bormetti, Damiano Brigo, Marco Francischello and Andrea Pallavicini
University of Bologna - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College Business School and Banca IMI
Downloads 235 (150,048)

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Collateral Modeling, Overnight Rates

24.

Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs

Number of pages: 13 Posted: 02 Jun 2015 Last Revised: 28 Nov 2015
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Banca IMI
Downloads 186 (186,716)
Citation 11

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Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Nonlinear Valuation, Derivatives Valuation, semi-linear PDE, FBSDE, BSDE, Existence and Uniqueness of solutions, Viscosity Solutions

25.

Smile Modelling in Commodity Markets

Number of pages: 26 Posted: 12 Sep 2018 Last Revised: 26 Jan 2020
Emanuele Nastasi, Andrea Pallavicini and Giulio Sartorelli
Exprivia S.p.A., Banca IMI and Banca IMI
Downloads 182 (190,348)
Citation 1

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Commodity, Option Pricing, Margining Procedures, Collaterals, Local Volatility, Stochastic Volatility

26.

A Backward Monte Carlo Approach to Exotic Option Pricing

Number of pages: 47 Posted: 05 Nov 2015 Last Revised: 04 Oct 2016
Giacomo Bormetti, Giorgia Callegaro, Giulia Livieri and Andrea Pallavicini
University of Bologna - Department of Mathematics, University of Padova, Scuola Normale Superiore and Banca IMI
Downloads 152 (221,889)
Citation 7

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Monte Carlo, Variance Reduction, Quantization, Markov Generator, Local Volatility, Option Pricing

27.

Rough Volatility: Evidence from Option Prices

Number of pages: 18 Posted: 10 Feb 2017
Giulia Livieri, Saad Mouti, Andrea Pallavicini and Mathieu Rosenbaum
Scuola Normale Superiore, Université Paris VI Pierre et Marie Curie, Banca IMI and Ecole Polytechnique, Palaiseau
Downloads 116 (273,540)
Citation 2

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Rough Volatility, Fractional Brownian Motion, Implied Volatility, Medvedev-Scaillet Approximation

28.

Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization

Number of pages: 33 Posted: 07 Mar 2018
Damiano Brigo, Cristin Buescu, Marco Francischello, Andrea Pallavicini and Marek Rutkowski
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Imperial College Business School, Banca IMI and The University of Sydney - School of Mathematics and Statistics
Downloads 101 (301,144)
Citation 6

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risk-neutral valuation, replication, funding costs, default, collateral

29.

Funding Adjustments in Equity Linear Products

Number of pages: 18 Posted: 17 Jun 2019
Stefania Gabrielli, Andrea Pallavicini and Stefano Scoleri
Be Consulting, Banca IMI and Be Consulting
Downloads 85 (336,086)

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Funding, Valuation Adjustments, FVA, Collateral, Equity Swap, Total Return Swap, Stock Lending, Dividend Tax, Tobin Tax

30.

Quantization Goes Polynomial

Number of pages: 25 Posted: 01 Nov 2017 Last Revised: 26 Nov 2017
Giorgia Callegaro, Lucio Fiorin and Andrea Pallavicini
University of Padova, University of Padova and Banca IMI
Downloads 78 (353,614)
Citation 4

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Quantization, Polynomial Models, Stochastic Volatility, Option Pricing, Path-Dependent Options

31.

Pricing commodity swing options

Number of pages: 33 Posted: 20 Feb 2020
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini and Giulio Sartorelli
Banca IMI, Exprivia S.p.A., Banca IMI and Banca IMI
Downloads 58 (413,609)

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Commodity, Swing Option, Volatility Smile, Local Volatility, Least-Square Monte Carlo, Reinforcement Learning, Proximal Policy Optimization

32.

An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond

Number of pages: 15 Posted: 21 Aug 2017
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Banca IMI
Downloads 46 (457,869)
Citation 4

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KVA, Capital Constraints, Indifference Pricing, RAROC

33.

Arbitrage‐Free Bilateral Counterparty Risk Valuation Under Collateralization and Application to Credit Default Swaps

Mathematical Finance, Vol. 24, Issue 1, pp. 125-146, 2014
Number of pages: 22 Posted: 13 Dec 2013
Damiano Brigo, Agostino Capponi and Andrea Pallavicini
Imperial College London - Department of Mathematics, Columbia University and Banca IMI
Downloads 0 (755,007)
Citation 5
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counterparty risk, CVA, bilateral CVA, arbitrage‐free credit valuation adjustment, credit default swaps, credit spread volatility, default correlation, contagion, stochastic intensity, collateral margining, netting, rehypotecation, wrong way risk

34.

A general framework for a joint calibration of VIX and VXX options

Number of pages: 26
Andrea Mazzoran, Martino Grasselli and Andrea Pallavicini
affiliation not provided to SSRN, University of Padova - Department of Mathematics and Banca IMI
Downloads 0

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Local volatility, Stochastic volatility, VIX, VIX futures, VXX.