The following pages link to Andrea Pallavicini (Q1634317):
Displayed 18 items.
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
- Parsimonious HJM modelling for multiple yield curve dynamics (Q2879021) (← links)
- ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (Q3100990) (← links)
- SMILE MODELING IN COMMODITY MARKETS (Q3304207) (← links)
- (Q3515750) (← links)
- Impact of multiple curve dynamics in credit valuation adjustments under collateralization (Q4554408) (← links)
- A backward Monte Carlo approach to exotic option pricing (Q4575277) (← links)
- Nonlinearity Valuation Adjustment (Q4689899) (← links)
- Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects (Q4689900) (← links)
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments (Q4689911) (← links)
- Quantization goes polynomial (Q4991080) (← links)
- CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES (Q5169978) (← links)
- A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING (Q5249754) (← links)
- PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK (Q5299993) (← links)
- DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS (Q5367501) (← links)
- ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (Q5411396) (← links)
- Counterparty Credit Risk, Collateral and Funding (Q5418750) (← links)
- ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773) (← links)