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 1 20 1 1 4 24
An indifference approach to the cost of capital constraints: KVA and beyond 0 1 2 3 0 2 5 9
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations 0 0 2 142 0 1 6 334
CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach 0 1 1 19 1 2 3 37
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? 1 1 2 18 1 1 6 57
Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting 0 0 0 42 1 3 9 109
Credit models and the crisis, or: how I learned to stop worrying and love the CDOs 0 0 0 120 1 1 2 227
Default correlation, cluster dynamics and single names: The GPCL dynamical loss model 0 0 0 17 0 0 0 63
FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae 1 1 2 8 1 1 5 22
Funding Adjustments in Equity Linear Products 0 0 0 0 1 1 1 1
Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation 0 0 1 211 0 0 3 661
Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments 0 0 0 22 1 2 4 109
Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting 0 0 1 11 0 0 2 67
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization 0 0 0 6 0 0 2 19
Interest-Rate Modeling with Multiple Yield Curves 0 0 0 100 0 1 1 206
Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs 0 0 2 29 0 0 3 54
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs 0 1 1 11 0 1 2 23
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes 0 0 1 20 0 1 3 35
On the consistency of jump-diffusion dynamics for FX rates under inversion 0 0 0 0 0 1 1 1
Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics 0 0 0 42 0 0 1 131
Quantization goes Polynomial 0 0 0 4 0 0 1 4
Risk-neutral valuation under differential funding costs, defaults and collateralization 0 1 2 4 0 1 2 6
Rough volatility: evidence from option prices 0 1 2 8 0 2 4 24
Smile Modelling in Commodity Markets 0 0 0 0 0 0 2 2
Stressing rating criteria allowing for default clustering: the CPDO case 0 0 0 14 0 0 0 70
Total Working Papers 2 7 20 871 8 22 72 2,295


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 3 8 10 0 5 15 23
ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS 0 0 2 11 0 2 9 43
ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS 0 0 0 1 0 0 1 2
CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES 0 0 0 0 0 0 1 1
DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS 1 1 4 5 2 2 13 20
Impact of multiple curve dynamics in credit valuation adjustments under collateralization 1 1 2 5 1 1 4 12
Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks 0 1 4 7 1 4 10 20
Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement 0 0 1 1 1 3 5 5
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK 0 0 0 1 0 2 5 10
Parsimonious HJM modelling for multiple yield curve dynamics 0 0 1 15 0 1 2 31
Rough volatility: Evidence from option prices 0 2 2 2 0 4 6 6
Total Journal Articles 2 8 24 58 5 24 71 173


Statistics updated 2019-07-03