Access Statistics for Alessandro Gnoatto

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Fully Quantization-based Scheme for FBSDEs 0 0 0 1 0 0 0 3
A Fully Quantization-based Scheme for FBSDEs 0 0 0 0 1 1 2 8
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 7 0 0 1 200
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 0 0 1 78
A change of measure formula for recursive conditional expectations 0 0 0 3 0 0 1 5
A deep solver for BSDEs with jumps 0 0 1 8 0 1 11 21
A flexible matrix Libor model with smiles 0 0 0 9 3 3 6 83
A general HJM framework for multiple yield curve modeling 0 0 0 10 0 0 3 46
A general HJM framework for multiple yield curve modeling 0 0 0 0 0 0 0 25
A unified approach to xVA with CSA discounting and initial margin 0 0 0 8 0 0 0 24
Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield 0 0 0 5 0 1 1 38
Affine multiple yield curve models 0 0 0 7 0 0 1 63
An analytic multi-currency model with stochastic volatility and stochastic interest rates 0 0 0 82 0 0 2 201
CBI-time-changed L\'evy processes for multi-currency modeling 0 0 0 4 0 0 1 7
CBI-time-changed Lévy processes 0 0 1 3 0 0 2 12
CBI-time-changed Lévy processes for multi-currency modeling 0 0 1 2 0 0 3 8
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 1 1 2 5 1 1 4 9
Cross Currency Valuation and Hedging in the Multiple Curve Framework 0 0 0 4 0 0 0 17
Cross Currency Valuation and Hedging in the Multiple Curve Framework 0 0 0 5 0 1 2 26
Deep xVA solver - A neural network based counterparty credit risk management framework 0 0 1 19 2 3 15 108
Deep xVA solver -- A neural network based counterparty credit risk management framework 0 0 0 17 0 1 2 32
Multiple Yield Curve Modelling with CBI Processes 0 0 0 4 0 0 2 34
Multiple yield curve modelling with CBI processes 0 0 0 0 0 0 1 24
Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin 0 0 1 16 0 5 17 94
Smiles all around: FX joint calibration in a multi-Heston model 0 0 0 24 0 0 3 106
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates 0 0 0 9 1 1 1 42
The Wishart short rate model 0 0 0 11 0 0 1 68
The explicit Laplace transform for the Wishart process 0 0 0 24 0 0 2 84
Total Working Papers 1 1 7 305 8 18 85 1,466

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A flexible matrix Libor model with smiles 0 0 0 7 1 1 1 75
A general HJM framework for multiple yield curve modelling 0 0 0 2 0 0 2 45
Affine multiple yield curve models 0 0 0 3 0 0 1 22
COHERENT FOREIGN EXCHANGE MARKET MODELS 0 0 2 7 0 0 4 38
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 1 1 0 0 4 9
GENERAL ANALYSIS OF LONG-TERM INTEREST RATES 0 0 0 9 1 2 3 59
General closed-form basket option pricing bounds 0 0 0 6 0 0 1 35
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes 0 2 14 95 0 7 35 181
Smiles all around: FX joint calibration in a multi-Heston model 0 0 1 17 0 0 7 89
THE WISHART SHORT RATE MODEL 0 0 0 1 0 0 0 19
Total Journal Articles 0 2 18 148 2 10 58 572

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Statistics updated 2025-03-03