Available identifiers
zbMath Open pallavicini.andrea MaRDI QID Q1634317
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv . We are working on additional sources - please check back here soon!
Publication Date of Publication Type Swing option pricing consistent with futures smiles 2024-07-30 Paper A general framework for a joint calibration of VIX and VXX options 2024-06-04 Paper 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 Analysis of nonlinear valuation equations under credit and funding effects 2018-10-22 Paper Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs 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. With pricing cases for all asset classes 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 Counterparty risk pricing under correlation between default and interest rates 2008-07-29 Paper
Research outcomes over time
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