Alessandro Gnoatto

Available identifiers

zbMath Open gnoatto.alessandroWikidataQ120783327 ScholiaQ120783327MaRDI QIDQ287656

List of research outcomes

Publication	Date of Publication	Type
CBI-time-changed Lévy processes	2023-08-14	Paper
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework	2023-06-01	Paper
A fully quantization-based scheme for FBSDEs	2022-12-07	Paper
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes	2022-11-18	Paper
Calibration to FX triangles of the 4/2 model under the benchmark approach	2022-06-17	Paper
A change of measure formula for recursive conditional expectations	2021-11-16	Paper
Cross Currency Valuation and Hedging in the Multiple Curve Framework	2021-11-05	Paper
A Unified Approach to xVA with CSA Discounting and Initial Margin	2021-11-05	Paper
General closed-form basket option pricing bounds	2021-07-16	Paper
Multiple yield curve modelling with CBI processes	2021-07-08	Paper
A Fully Quantization-based Scheme for FBSDEs	2021-05-07	Paper
GENERAL ANALYSIS OF LONG-TERM INTEREST RATES	2020-03-26	Paper
Affine multiple yield curve models	2019-05-23	Paper
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models	2018-09-28	Paper
Long-term yield in an affine HJM framework on \(S_{d}^{+}\)	2018-07-20	Paper
COHERENT FOREIGN EXCHANGE MARKET MODELS	2017-03-30	Paper
A flexible matrix Libor model with smiles	2016-10-05	Paper
A general HJM framework for multiple yield curve modelling	2016-05-23	Paper
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates	2015-01-20	Paper
The Explicit Laplace Transform for the Wishart Process	2014-10-15	Paper
THE WISHART SHORT RATE MODEL	2013-03-12	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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