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 1 8 11
A Fully Quantization-based Scheme for FBSDEs 0 0 0 0 0 1 2 12
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 1 9 0 1 8 210
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 0 6 16 94
A change of measure formula for recursive conditional expectations 0 0 0 3 0 3 11 17
A deep solver for BSDEs with jumps 0 0 0 8 3 4 32 56
A deep solver for backward stochastic Volterra integral equations 0 0 0 3 0 1 17 21
A flexible matrix Libor model with smiles 0 0 0 9 0 0 16 100
A general HJM framework for multiple yield curve modeling 0 0 0 11 1 4 19 66
A general HJM framework for multiple yield curve modeling 0 0 0 0 1 3 13 41
A unified approach to xVA with CSA discounting and initial margin 0 0 4 12 0 2 17 44
Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield 0 0 0 5 0 1 8 46
Affine multiple yield curve models 0 0 2 9 1 4 17 81
An analytic multi-currency model with stochastic volatility and stochastic interest rates 0 0 0 82 0 1 10 211
CBI-time-changed L\'evy processes for multi-currency modeling 0 0 0 4 0 1 8 16
CBI-time-changed Lévy processes 0 0 0 3 1 2 9 21
CBI-time-changed Lévy processes for multi-currency modeling 0 0 0 2 0 1 8 19
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 0 0 0 5 0 1 14 24
Convergence of a Deep BSDE solver with jumps 0 0 1 3 0 1 7 19
Cross Currency Valuation and Hedging in the Multiple Curve Framework 0 0 0 4 1 3 12 30
Cross Currency Valuation and Hedging in the Multiple Curve Framework 0 0 1 6 0 0 12 39
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting 0 0 1 8 1 1 21 29
Deep Quadratic Hedging 1 1 1 17 1 2 3 4
Deep xVA solver - A neural network based counterparty credit risk management framework 0 0 1 20 0 2 32 144
Deep xVA solver -- A neural network based counterparty credit risk management framework 0 1 1 19 0 2 25 59
Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis 0 1 5 7 0 3 25 31
Multiple Yield Curve Modelling with CBI Processes 0 0 0 4 1 3 13 51
Multiple yield curve modelling with CBI processes 0 0 0 0 0 2 7 32
Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin 0 0 0 17 1 3 20 125
Smiles all around: FX joint calibration in a multi-Heston model 0 0 0 24 0 1 7 113
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates 0 0 0 9 0 1 6 48
The Wishart short rate model 0 0 0 11 0 1 12 81
The explicit Laplace transform for the Wishart process 0 0 0 24 0 1 7 92
When defaults cannot be hedged: xVA calculations via local risk-minimization 0 0 0 2 0 1 9 11
Total Working Papers 1 3 18 359 12 64 451 1,998

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CHANGE OF MEASURE FORMULA FOR RECURSIVE CONDITIONAL EXPECTATIONS 0 0 0 1 1 1 3 4
A flexible matrix Libor model with smiles 0 0 0 7 0 18 26 102
A fully quantization-based scheme for FBSDEs 0 0 0 0 0 1 6 7
A general HJM framework for multiple yield curve modelling 0 0 0 2 0 2 15 62
Affine multiple yield curve models 0 0 0 4 0 0 12 38
CBI-time-changed Lévy processes 0 0 0 2 0 0 8 13
CBI-time-changed Lévy processes for multi-currency modeling 0 0 0 0 0 1 15 16
COHERENT FOREIGN EXCHANGE MARKET MODELS 0 0 1 9 0 16 26 67
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 0 1 0 1 24 33
Deep Quadratic Hedging 0 0 0 0 1 2 4 4
GENERAL ANALYSIS OF LONG-TERM INTEREST RATES 0 0 0 9 0 0 8 67
General closed-form basket option pricing bounds 0 0 0 6 0 1 16 51
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes 2 2 9 107 3 5 28 220
Quantization of stochastic volatility models: Numerical tests and an open source implementation 0 2 2 2 0 2 7 8
Smiles all around: FX joint calibration in a multi-Heston model 0 0 1 18 0 0 15 107
THE WISHART SHORT RATE MODEL 0 0 0 1 0 18 33 52
Total Journal Articles 2 4 13 169 5 68 246 851

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Statistics updated 2026-10-11