Andrea Pallavicini

Imperial College London - Department of Mathematics

South Kensington Campus

London SW7 2AZ, SW7 2AZ

United Kingdom

Intesa Sanpaolo

Head of Equity, FX and Commodity Models

Largo Mattioli 3

Milan, MI 20121

Italy

  • Imperial College London - Department of Mathematics

  • Intesa Sanpaolo

SCHOLARLY PAPERS

36

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66

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323

Scholarly Papers (36)

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1.

Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Fabio Mercurio, Andrea Pallavicini and Andrea Pallavicini
Bloomberg L.P. and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 2,666 (6,186)
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, Andrea Pallavicini and Andrea Pallavicini
Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 1,957 (10,214)
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, Andrea Pallavicini and Marco Tarenghi
Intesa SanpaoloImperial College London - Department of Mathematics and Mediobanca
Downloads 1,674 (13,109)
Citation 31

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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, Andrea Pallavicini, Daniele Perini and Damiano Brigo
Intesa SanpaoloImperial College London - Department of Mathematics, Mediobanca and Imperial College London - Department of Mathematics
Downloads 1,296 (19,409)
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, Andrea Pallavicini and Andrea Pallavicini
UBI Banca, Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 1,239 (20,841)
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, Andrea Pallavicini and Andrea Pallavicini
UBI Banca, Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 1,101 (24,800)
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, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and UBI Banca
Downloads 1,011 (28,045)
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, Andrea Pallavicini and Andrea Pallavicini
Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 997 (28,590)
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, Andrea Pallavicini and Andrea Pallavicini
Bloomberg L.P. and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 930 (31,576)
Citation 4

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

10.

Interpretability in deep learning for finance: a case study for the Heston model

Number of pages: 37 Posted: 20 Apr 2021
Damiano Brigo, Xiaoshan Huang, Andrea Pallavicini, Andrea Pallavicini and Haitz Sáez de Ocáriz Borde
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and Imperial College London
Downloads 923 (31,908)

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Volatility Smile, Smile parameters, Option Pricing, Heston model, Stochastic Volatility, Deep Learning, Interpretability Models, Surrogate Models, Shapley Values

11.

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, Andrea Pallavicini, Daniele Perini and Damiano Brigo
Intesa SanpaoloImperial College London - Department of Mathematics, Mediobanca and Imperial College London - Department of Mathematics
Downloads 903 (32,906)
Citation 40

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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

12.

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

Number of pages: 25 Posted: 04 Apr 2013
Andrea Pallavicini, Andrea Pallavicini and Damiano Brigo
Intesa SanpaoloImperial College London - Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 750 (42,395)
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

13.

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, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and UBI Banca
Downloads 748 (42,562)
Citation 49

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

14.

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, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Columbia University, Intesa SanpaoloImperial College London - Department of Mathematics and Barclays Capital
Downloads 631 (53,424)
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

15.

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, Andrea Pallavicini and Andrea Pallavicini
Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 602 (56,670)
Citation 14

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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

16.

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, Andrea Pallavicini and Vasileios Papatheodorou
Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and Barclays Capital
Downloads 562 (61,781)
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

17.

Implied Expected Tranched Loss Surface from CDO Data

Number of pages: 13 Posted: 28 Sep 2006
Roberto Torresetti, Damiano Brigo, Andrea Pallavicini and Andrea Pallavicini
UBI Banca, Imperial College London - Department of Mathematics and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 514 (69,115)
Citation 17

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

18.

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, Andrea Pallavicini and David Sloth
Imperial College London - Department of Mathematics, Imperial College London-Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and Danske Bank - Danske Markets
Downloads 501 (71,395)
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

19.

Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics

Number of pages: 25 Posted: 29 Oct 2010 Last Revised: 07 May 2013
Nicola Moreni, Andrea Pallavicini and Andrea Pallavicini
Intesa Sanpaolo, CIB Division, Global Markets and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 403 (92,375)
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

20.

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, Andrea Pallavicini and Qing Liu
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and Imperial College London-Department of Mathematics
Downloads 400 (93,177)
Citation 17

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

21.

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, Andrea Pallavicini and Andrea Pallavicini
UBI Banca and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 311 (123,337)
Citation 2

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

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, Andrea Pallavicini and Andrea Pallavicini
Intesa Sanpaolo, CIB Division, Global Markets and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 282 (136,778)
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.

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

Number of pages: 35 Posted: 14 Jan 2007
Damiano Brigo, Andrea Pallavicini, Andrea Pallavicini and Roberto Torresetti
Imperial College London - Department of Mathematics, Intesa SanpaoloImperial College London - Department of Mathematics and UBI Banca
Downloads 270 (143,087)
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

24.

Smile Modelling in Commodity Markets

Number of pages: 26 Posted: 12 Sep 2018 Last Revised: 26 Jan 2020
Emanuele Nastasi, Andrea Pallavicini, Andrea Pallavicini and Giulio Sartorelli
Exprivia S.p.A., Intesa SanpaoloImperial College London - Department of Mathematics and Banca IMI
Downloads 268 (144,212)
Citation 2

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

25.

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, Andrea Pallavicini and Andrea Pallavicini
University of Bologna - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College Business School and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 240 (160,794)

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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

26.

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, Andrea Pallavicini and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 191 (199,042)
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

27.

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, Giorgia Callegaro, Giulia Livieri, Andrea Pallavicini and Andrea Pallavicini
University of Bologna - Department of Mathematics, University of PaduaUniversity of Padua, Scuola Normale Superiore and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 163 (228,233)
Citation 7

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

28.

Rough Volatility: Evidence from Option Prices

Number of pages: 18 Posted: 10 Feb 2017
Giulia Livieri, Saad Mouti, Andrea Pallavicini, Andrea Pallavicini and Mathieu Rosenbaum
Scuola Normale Superiore, Université Paris VI Pierre et Marie Curie, Intesa SanpaoloImperial College London - Department of Mathematics and Ecole Polytechnique, Palaiseau
Downloads 124 (283,666)
Citation 3

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

29.

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, Andrea Pallavicini and Marek Rutkowski
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Imperial College Business School, Intesa SanpaoloImperial College London - Department of Mathematics and The University of Sydney - School of Mathematics and Statistics
Downloads 110 (308,877)
Citation 7

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

30.

Pricing commodity swing options

Number of pages: 33 Posted: 20 Feb 2020
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Andrea Pallavicini and Giulio Sartorelli
Banca IMI, Exprivia S.p.A., Intesa SanpaoloImperial College London - Department of Mathematics and Banca IMI
Downloads 99 (331,465)

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

31.

Funding Adjustments in Equity Linear Products

A version of this paper was published in Risk, June 2020.
Number of pages: 18 Posted: 17 Jun 2019 Last Revised: 23 Jun 2021
Stefania Gabrielli, Andrea Pallavicini, Andrea Pallavicini and Stefano Scoleri
Be Consulting, Intesa SanpaoloImperial College London - Department of Mathematics and Be Consulting
Downloads 97 (335,900)

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

32.

Quantization Goes Polynomial

Number of pages: 25 Posted: 01 Nov 2017 Last Revised: 26 Nov 2017
Giorgia Callegaro, Giorgia Callegaro, Lucio Fiorin, Andrea Pallavicini and Andrea Pallavicini
University of PaduaUniversity of Padua, University of Padua and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 80 (378,238)
Citation 4

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

33.

A General Framework for a Joint Calibration of VIX and VXX Options

Number of pages: 24 Posted: 19 Feb 2021 Last Revised: 14 Jun 2021
Martino Grasselli, Andrea Mazzoran, Andrea Pallavicini and Andrea Pallavicini
University of Padova - Department of Mathematics, affiliation not provided to SSRN and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 70 (407,636)

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

34.

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

Number of pages: 15 Posted: 21 Aug 2017
Damiano Brigo, Marco Francischello, Andrea Pallavicini and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 51 (475,307)
Citation 4

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KVA, Capital Constraints, Indifference Pricing, RAROC

35.

Chebyshev Greeks: Smoothing Gamma without Bias

Number of pages: 15 Posted: 08 Jul 2021
Andrea Maran, Andrea Pallavicini, Andrea Pallavicini and Stefano Scoleri
Exprivia S.p.A., Intesa SanpaoloImperial College London - Department of Mathematics and Be Consulting
Downloads 38 (533,398)
Citation 1

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Barycentric formula, Chebyshev interpolation, Finite Differences, Gamma, Greeks, Monte Carlo.

36.

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, Andrea Pallavicini and Andrea Pallavicini
Imperial College London - Department of Mathematics, Columbia University and Intesa SanpaoloImperial College London - Department of Mathematics
Downloads 0 (810,065)
Citation 9
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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