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 2 2 5
A Fully Quantization-based Scheme for FBSDEs 0 0 0 0 0 0 3 10
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 1 8 1 1 3 203
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds 0 0 0 18 0 1 1 79
A change of measure formula for recursive conditional expectations 0 0 0 3 0 2 3 8
A deep solver for BSDEs with jumps 0 0 0 8 1 4 8 28
A flexible matrix Libor model with smiles 0 0 0 9 0 1 4 84
A general HJM framework for multiple yield curve modeling 0 0 1 11 5 7 8 54
A general HJM framework for multiple yield curve modeling 0 0 0 0 1 1 4 29
A unified approach to xVA with CSA discounting and initial margin 0 2 2 10 1 3 6 30
Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield 0 0 0 5 1 1 2 39
Affine multiple yield curve models 0 0 0 7 2 3 4 67
An analytic multi-currency model with stochastic volatility and stochastic interest rates 0 0 0 82 1 1 1 202
CBI-time-changed L\'evy processes for multi-currency modeling 0 0 0 4 0 0 1 8
CBI-time-changed Lévy processes 0 0 0 3 0 0 0 12
CBI-time-changed Lévy processes for multi-currency modeling 0 0 0 2 2 5 7 15
Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach 0 0 1 5 0 0 2 10
Cross Currency Valuation and Hedging in the Multiple Curve Framework 0 1 1 6 2 3 5 30
Cross Currency Valuation and Hedging in the Multiple Curve Framework 0 0 0 4 2 2 3 20
Deep xVA solver - A neural network based counterparty credit risk management framework 0 0 0 19 1 4 11 116
Deep xVA solver -- A neural network based counterparty credit risk management framework 0 0 1 18 2 5 8 39
Multiple Yield Curve Modelling with CBI Processes 0 0 0 4 1 4 5 39
Multiple yield curve modelling with CBI processes 0 0 0 0 0 0 1 25
Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin 0 0 1 17 0 2 18 107
Smiles all around: FX joint calibration in a multi-Heston model 0 0 0 24 0 1 1 107
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates 0 0 0 9 1 1 2 43
The Wishart short rate model 0 0 0 11 1 1 2 70
The explicit Laplace transform for the Wishart process 0 0 0 24 1 1 2 86
Total Working Papers 0 3 8 312 26 56 117 1,565

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 2 3 77
A general HJM framework for multiple yield curve modelling 0 0 0 2 1 6 7 52
Affine multiple yield curve models 0 0 1 4 3 5 8 30
COHERENT FOREIGN EXCHANGE MARKET MODELS 0 0 1 8 2 2 5 43
Calibration to FX triangles of the 4/2 model under the benchmark approach 0 0 0 1 2 6 6 15
GENERAL ANALYSIS OF LONG-TERM INTEREST RATES 0 0 0 9 0 1 3 60
General closed-form basket option pricing bounds 0 0 0 6 2 3 3 38
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes 1 2 6 99 4 7 23 197
Smiles all around: FX joint calibration in a multi-Heston model 0 0 0 17 1 3 6 95
THE WISHART SHORT RATE MODEL 0 0 0 1 0 1 1 20
Total Journal Articles 1 2 8 154 16 36 65 627

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Statistics updated 2025-12-06