Andrea Pallavicini

Intesa Sanpaolo

Largo Mattioli 3

Milan, MI 20121

Italy

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 2,274

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Top 2,274

in Total Papers Downloads

27,224

SSRN CITATIONS
Rank 5,058

SSRN RANKINGS

Top 5,058

in Total Papers Citations

84

CROSSREF CITATIONS

290

Scholarly Papers (40)

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 Intesa Sanpaolo
Downloads 3,083 (8,136)
Citation 9

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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 Intesa Sanpaolo
Downloads 2,179 (14,124)
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
Intesa Sanpaolo and Mediobanca
Downloads 1,892 (17,716)
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, Daniele Perini and Damiano Brigo
Intesa Sanpaolo, Mediobanca and Imperial College London - Department of Mathematics
Downloads 1,454 (26,499)
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
Università degli Studi di Milano, Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 1,348 (29,604)
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.

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

Number of pages: 37 Posted: 20 Apr 2021
Imperial College London - Department of Mathematics, Imperial College London - Department of Mathematics, Intesa Sanpaolo and Imperial College London
Downloads 1,199 (35,052)
Citation 3

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

7.

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
Università degli Studi di Milano, Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 1,145 (37,436)
Citation 11

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

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 Intesa Sanpaolo
Downloads 1,115 (38,994)
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.

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, Intesa Sanpaolo and Università degli Studi di Milano
Downloads 1,085 (40,534)
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

10.

Mixing Gaussian Models to Price Cms Derivatives

Number of pages: 13 Posted: 29 Dec 2005
Fabio Mercurio and Andrea Pallavicini
Bloomberg L.P. and Intesa Sanpaolo
Downloads 1,004 (45,288)
Citation 5

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

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, Daniele Perini and Damiano Brigo
Intesa Sanpaolo, Mediobanca and Imperial College London - Department of Mathematics
Downloads 989 (46,246)
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 and Damiano Brigo
Intesa Sanpaolo and Imperial College London - Department of Mathematics
Downloads 851 (56,869)
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 and Roberto Torresetti
Imperial College London - Department of Mathematics, Intesa Sanpaolo and Università degli Studi di Milano
Downloads 851 (56,869)
Citation 53

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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
Imperial College London - Department of Mathematics, Columbia University - Department of Industrial Engineering and Operations Research, Intesa Sanpaolo and Barclays Capital
Downloads 728 (70,078)
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 and Andrea Pallavicini
Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 664 (78,697)
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.

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
Marketz S.p.A., Intesa Sanpaolo and Banca IMI
Downloads 657 (79,786)
Citation 4

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

17.

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, Intesa Sanpaolo and Barclays Capital
Downloads 611 (87,346)
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

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 and David Sloth
Imperial College London - Department of Mathematics, Imperial College London-Department of Mathematics, Intesa Sanpaolo and Danske Bank - Danske Markets
Downloads 606 (88,324)
Citation 2

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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.

Implied Expected Tranched Loss Surface from CDO Data

Number of pages: 13 Posted: 28 Sep 2006
Roberto Torresetti, Damiano Brigo and Andrea Pallavicini
Università degli Studi di Milano, Imperial College London - Department of Mathematics and Intesa Sanpaolo
Downloads 566 (96,534)
Citation 17

Abstract:

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

20.

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
Intesa Sanpaolo, CIB Division, Global Markets and Intesa Sanpaolo
Downloads 528 (104,987)

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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

21.

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, Intesa Sanpaolo and Imperial College London-Department of Mathematics
Downloads 527 (105,261)
Citation 15

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

22.

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
Intesa Sanpaolo, CIB Division, Global Markets and Intesa Sanpaolo
Downloads 478 (118,431)
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

23.

Pricing commodity swing options

Number of pages: 33 Posted: 20 Feb 2020
Intesa SanPaolo SpA, Marketz S.p.A., Intesa Sanpaolo and Banca IMI
Downloads 337 (176,232)

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

24.

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
Università degli Studi di Milano and Intesa Sanpaolo
Downloads 333 (178,542)
Citation 2

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

25.

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, Intesa Sanpaolo and Università degli Studi di Milano
Downloads 296 (202,273)
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

26.

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Number of pages: 28 Posted: 31 Jul 2015 Last Revised: 14 Sep 2015
University of Pavia - Department of Economics and Management, Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 286 (209,617)

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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

27.

Chebyshev Greeks: Smoothing Gamma without Bias

A version of this paper has been published in Risk, May 2022.
Number of pages: 15 Posted: 08 Jul 2021 Last Revised: 10 Jul 2022
Andrea Maran, Andrea Pallavicini and Stefano Scoleri
Futura SRL, Intesa Sanpaolo and Be Consulting
Downloads 282 (212,622)
Citation 4

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

28.

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: 10 Jul 2022
Stefania Gabrielli, Andrea Pallavicini and Stefano Scoleri
Be Consulting, Intesa Sanpaolo and Be Consulting
Downloads 234 (258,108)

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

29.

Reinforcement Learning for Options on Target Volatility Funds

Number of pages: 24 Posted: 06 Dec 2021 Last Revised: 13 Dec 2021
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini and Stefano Polo
Intesa SanPaolo SpA, Marketz S.p.A., Intesa Sanpaolo and illimity bank S.p.A.
Downloads 232 (259,179)

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Reinforcement learning, hedging costs, target volatility, asset allocation, stochastic optimal control problem

30.

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 Intesa Sanpaolo
Downloads 228 (262,478)
Citation 17

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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

31.

A Backward Monte Carlo Approach to Exotic Option Pricing

Number of pages: 47 Posted: 05 Nov 2015 Last Revised: 04 Oct 2016
University of Pavia - Department of Economics and Management, University of PaduaUniversity of Padua, Scuola Normale Superiore and Intesa Sanpaolo
Downloads 212 (282,325)
Citation 7

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

32.

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, Intesa Sanpaolo and Ecole Polytechnique, Palaiseau
Downloads 202 (293,856)
Citation 3

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

33.

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

Number of pages: 33 Posted: 07 Mar 2018
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Imperial College Business School, Intesa Sanpaolo and The University of Sydney - School of Mathematics and Statistics
Downloads 182 (323,008)
Citation 7

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

34.

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 and Andrea Pallavicini
University of Padova - Department of Mathematics, affiliation not provided to SSRN and Intesa Sanpaolo
Downloads 166 (350,237)
Citation 1

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

35.

Interpolating Commodity Futures Prices With Kriging

Number of pages: 47 Posted: 18 Nov 2021 Last Revised: 30 Mar 2022
Andrea Maran and Andrea Pallavicini
Futura SRL and Intesa Sanpaolo
Downloads 164 (353,913)

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Kriging, Commodity Futures, Futures Term Structure, Seasonality patterns

36.

Rough-Heston Local-Volatility Model

Number of pages: 14 Posted: 27 Jun 2022
Enrico Dall'Acqua, Riccardo Longoni and Andrea Pallavicini
Polytechnic University of Milan - Department of Mathematics, Intesa Sanpaolo and Intesa Sanpaolo
Downloads 146 (389,673)
Citation 3

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Local volatility, rough volatility, rough Heston, Markovian projection, volatility skew

37.

Machine learning methods for American-style path-dependent contracts

Number of pages: 42 Posted: 05 Dec 2023
Matteo Gambara, Giulia Livieri and Andrea Pallavicini
INAIT SA, Scuola Normale Superiore and Intesa Sanpaolo
Downloads 140 (402,794)

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Amerasian options, Look-back options, Callable certificates, Early termination, Random networks, Signature methods, Least-square Monte Carlo, Chebyshev Greeks

38.

Quantization Goes Polynomial

Number of pages: 25 Posted: 01 Nov 2017 Last Revised: 26 Nov 2017
University of PaduaUniversity of Padua, University of Padua and Intesa Sanpaolo
Downloads 107 (493,698)
Citation 5

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

39.

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 Intesa Sanpaolo
Downloads 94 (539,467)
Citation 4

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KVA, Capital Constraints, Indifference Pricing, RAROC

40.

Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices

Number of pages: 28 Posted: 22 Aug 2024
University of Coruña - Department of Mathematics, Marketz S.p.A., Intesa Sanpaolo and University of Coruña - Department of Mathematics
Downloads 23 (968,126)

Abstract:

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Commodity Indices, Option Pricing, Stochastic Local Volatility, Commodity Futures