Andrea Pallavicini

Available identifiers

zbMath Open pallavicini.andreaMaRDI QIDQ1634317

List of research outcomes

Publication	Date of Publication	Type
ROUGH-HESTON LOCAL-VOLATILITY MODEL	2024-02-20	Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization	2021-09-03	Paper
Quantization goes polynomial	2021-06-02	Paper
SMILE MODELING IN COMMODITY MARKETS	2020-08-05	Paper
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement	2018-12-18	Paper
Impact of multiple curve dynamics in credit valuation adjustments under collateralization	2018-11-14	Paper
Nonlinearity Valuation Adjustment	2018-10-22	Paper
Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects	2018-10-22	Paper
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments	2018-10-22	Paper
A backward Monte Carlo approach to exotic option pricing	2018-07-13	Paper
DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS	2017-10-13	Paper
A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING	2015-05-11	Paper
Parsimonious HJM modelling for multiple yield curve dynamics	2014-09-05	Paper
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES	2014-07-17	Paper
Counterparty Credit Risk, Collateral and Funding	2014-05-27	Paper
ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS	2014-04-23	Paper
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK	2013-06-24	Paper
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS	2011-11-22	Paper
https://portal.mardi4nfdi.de/entity/Q3515750	2008-07-29	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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MaRDI profile type	MaRDI person profile
instance of	human

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