Access Statistics for Andrea Pallavicini

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 backward Monte Carlo approach to exotic option pricing 0 0 0 25 0 1 2 36
A general framework for a joint calibration of VIX and VXX options 0 0 0 11 1 1 3 41
An indifference approach to the cost of capital constraints: KVA and beyond 0 0 0 7 0 2 3 31
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations 0 0 0 145 0 0 3 360
CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach 0 0 2 22 0 0 3 62
CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? 0 0 0 22 43 43 45 132
Chebyshev Greeks: Smoothing Gamma without Bias 0 1 2 8 1 2 6 23
Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting 0 0 0 42 0 1 4 121
Credit models and the crisis, or: how I learned to stop worrying and love the CDOs 0 0 0 126 0 0 3 254
Default correlation, cluster dynamics and single names: The GPCL dynamical loss model 0 0 0 17 0 0 2 75
Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices 0 0 2 2 0 1 7 7
FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae 0 0 0 13 1 1 2 49
Funding Adjustments in Equity Linear Products 0 0 0 5 0 0 2 21
Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation 1 1 1 216 121 244 387 1,074
Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments 1 2 2 27 2 4 5 138
Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting 0 0 0 16 2 2 5 86
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization 0 0 0 6 0 0 0 27
Interest-Rate Modeling with Multiple Yield Curves 0 2 4 105 0 2 6 233
Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs 0 0 0 32 0 0 1 74
Interpolating commodity futures prices with Kriging 0 0 0 2 0 1 5 15
Interpretability in deep learning for finance: a case study for the Heston model 0 0 1 38 1 1 8 54
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs 0 0 0 12 0 1 2 38
Machine learning methods for American-style path-dependent contracts 0 0 0 3 0 1 3 6
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes 0 0 0 22 0 1 2 66
On the consistency of jump-diffusion dynamics for FX rates under inversion 0 0 0 3 1 1 4 23
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics 0 0 1 46 1 1 2 157
Pricing commodity index options 0 0 1 8 0 1 4 17
Pricing commodity swing options 0 0 1 23 0 0 2 25
Quantization goes Polynomial 0 0 0 8 1 1 3 22
Reinforcement learning for options on target volatility funds 0 0 1 9 0 1 5 17
Risk-neutral valuation under differential funding costs, defaults and collateralization 0 0 1 14 0 0 4 37
Rough volatility: evidence from option prices 0 0 0 21 0 0 0 65
Rough-Heston Local-Volatility Model 0 0 0 4 0 0 2 13
Smile Modelling in Commodity Markets 0 0 1 13 1 1 3 45
Stressing rating criteria allowing for default clustering: the CPDO case 0 0 0 14 0 1 1 76
Total Working Papers 2 6 20 1,087 176 316 539 3,520


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING 0 0 0 18 0 0 3 60
A general framework for a joint calibration of VIX and VXX options 0 0 0 0 0 3 13 15
ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS 0 1 2 32 0 3 7 95
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS 0 0 0 3 0 1 4 28
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES 0 0 1 4 0 1 4 16
Credit models and the crisis: An overview 0 0 1 2 0 0 2 4
DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS 0 0 6 54 0 2 11 134
Impact of multiple curve dynamics in credit valuation adjustments under collateralization 0 0 0 6 0 0 1 21
Nonlinear Valuation with XVAs: Two Converging Approaches 0 0 0 3 0 0 0 10
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks 0 1 2 32 1 3 7 88
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement 1 1 2 25 1 1 7 65
On the consistency of jump-diffusion dynamics for FX rates under inversion 0 0 0 1 0 0 3 12
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK 0 0 3 16 0 5 15 57
Parsimonious HJM modelling for multiple yield curve dynamics 0 0 0 15 0 1 2 53
Pricing commodity index options 0 0 1 8 0 0 4 18
Quantization goes polynomial 0 0 0 3 0 0 0 7
ROUGH-HESTON LOCAL-VOLATILITY MODEL 1 1 4 7 1 1 8 21
Risk-neutral versus objective loss distribution and CDO tranche valuation 0 0 0 0 0 0 2 2
Rough volatility: Evidence from option prices 0 0 0 9 0 0 2 61
SMILE MODELING IN COMMODITY MARKETS 0 0 4 8 0 1 10 39
Total Journal Articles 2 4 26 246 3 22 105 806


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES 0 0 2 4 0 0 5 9
Total Chapters 0 0 2 4 0 0 5 9


Statistics updated 2025-07-04