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Andrea Pallavicini

Personal Details

First Name:Andrea
Middle Name:
Last Name:Pallavicini
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RePEc Short-ID:ppa573

Affiliation

Intesa Sanpaolo Group (Intesa Sanpaolo Group)

https://group.intesasanpaolo.com/en/
Italy, Milano

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Stefano Polo, 2021. "Reinforcement learning for options on target volatility funds," Papers 2112.01841, arXiv.org.
  2. Damiano Brigo & Xiaoshan Huang & Andrea Pallavicini & Haitz Saez de Ocariz Borde, 2021. "Interpretability in deep learning for finance: a case study for the Heston model," Papers 2104.09476, arXiv.org.
  3. Andrea Maran & Andrea Pallavicini & Stefano Scoleri, 2021. "Chebyshev Greeks: Smoothing Gamma without Bias," Papers 2106.12431, arXiv.org.
  4. Andrea Maran & Andrea Pallavicini, 2021. "Interpolating commodity futures prices with Kriging," Papers 2110.13021, arXiv.org, revised Mar 2022.
  5. Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2020. "A general framework for a joint calibration of VIX and VXX options," Papers 2012.08353, arXiv.org, revised Jun 2021.
  6. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020. "Pricing commodity swing options," Papers 2001.08906, arXiv.org.
  7. Federico Graceffa & Damiano Brigo & Andrea Pallavicini, 2019. "On the consistency of jump-diffusion dynamics for FX rates under inversion," Papers 1905.05310, arXiv.org, revised Jul 2019.
  8. Stefania Gabrielli & Andrea Pallavicini & Stefano Scoleri, 2019. "Funding Adjustments in Equity Linear Products," Papers 1906.02561, arXiv.org.
  9. Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2018. "Smile Modelling in Commodity Markets," Papers 1808.09685, arXiv.org, revised Jan 2020.
  10. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2018. "Risk-neutral valuation under differential funding costs, defaults and collateralization," Papers 1802.10228, arXiv.org.
  11. Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2017. "Quantization goes Polynomial," Papers 1710.11435, arXiv.org, revised Dec 2019.
  12. Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum, 2017. "Rough volatility: evidence from option prices," Papers 1702.02777, arXiv.org.
  13. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2017. "An indifference approach to the cost of capital constraints: KVA and beyond," Papers 1708.05319, arXiv.org.
  14. Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs," Papers 1506.00686, arXiv.org, revised Nov 2015.
  15. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2015. "Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization," Papers 1507.08779, arXiv.org, revised Sep 2015.
  16. Giacomo Bormetti & Giorgia Callegaro & Giulia Livieri & Andrea Pallavicini, 2015. "A backward Monte Carlo approach to exotic option pricing," Papers 1511.00848, arXiv.org.
  17. Nicola Moreni & Andrea Pallavicini, 2015. "FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae," Papers 1508.04321, arXiv.org, revised Sep 2015.
  18. Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth, 2014. "Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes," Papers 1404.7314, arXiv.org.
  19. Damiano Brigo & Andrea Pallavicini, 2014. "CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach," Papers 1401.3994, arXiv.org.
  20. Andrea Pallavicini & Damiano Brigo, 2013. "Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs," Papers 1304.1397, arXiv.org.
  21. Damiano Brigo & Andrea Pallavicini, 2013. "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?," Papers 1312.0128, arXiv.org, revised Dec 2013.
  22. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2012. "Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments," Papers 1210.3811, arXiv.org, revised Dec 2012.
  23. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2012. "Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting," Papers 1207.2316, arXiv.org, revised Jul 2012.
  24. Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting," Papers 1101.3926, arXiv.org.
  25. Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
  26. Nicola Moreni & Andrea Pallavicini, 2010. "Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics," Papers 1011.0828, arXiv.org.
  27. Andrea Pallavicini & Marco Tarenghi, 2010. "Interest-Rate Modeling with Multiple Yield Curves," Papers 1006.4767, arXiv.org.
  28. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2009. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations," Papers 0911.3331, arXiv.org, revised Feb 2010.
  29. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2009. "Credit models and the crisis, or: how I learned to stop worrying and love the CDOs," Papers 0912.5427, arXiv.org, revised Feb 2010.
  30. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2008. "Default correlation, cluster dynamics and single names: The GPCL dynamical loss model," Papers 0812.4163, arXiv.org.
  31. Torresetti, Roberto & Pallavicini, Andrea, 2007. "Stressing rating criteria allowing for default clustering: the CPDO case," MPRA Paper 17104, University Library of Munich, Germany, revised 04 Sep 2009.

Articles

  1. Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski, 2022. "Nonlinear Valuation with XVAs: Two Converging Approaches," Mathematics, MDPI, vol. 10(5), pages 1-31, March.
  2. Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini, 2021. "Quantization goes polynomial," Quantitative Finance, Taylor & Francis Journals, vol. 21(3), pages 361-376, March.
  3. Federico Graceffa & Damiano Brigo & Andrea Pallavicini, 2020. "On the consistency of jump-diffusion dynamics for FX rates under inversion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-17, December.
  4. Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020. "Smile Modeling In Commodity Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(03), pages 1-28, May.
  5. Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
  6. Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum, 2018. "Rough volatility: Evidence from option prices," IISE Transactions, Taylor & Francis Journals, vol. 50(9), pages 767-776, September.
  7. Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini, 2018. "Impact of multiple curve dynamics in credit valuation adjustments under collateralization," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 31-44, January.
  8. Nicola Moreni & Andrea Pallavicini, 2017. "Derivative Pricing With Collateralization And Fx Market Dislocations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-27, September.
  9. Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu, 2015. "A Note On The Self-Financing Condition For Funding, Collateral And Discounting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 1-10.
  10. Damiano Brigo & Andrea Pallavicini, 2014. "Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-60.
  11. Damiano Brigo & Agostino Capponi & Andrea Pallavicini, 2014. "Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 125-146, January.
  12. N. Moreni & A. Pallavicini, 2014. "Parsimonious HJM modelling for multiple yield curve dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 199-210, February.
  13. Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou, 2013. "Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation And Wrong-Way Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-16.
  14. Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 773-802.
  15. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2007. "Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 607-631.

Chapters

  1. Damiano Brigo & Andrea Pallavicini & Roberto Torresetti, 2007. "Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names," World Scientific Book Chapters, in: Alexander Lipton & Andrew Rennie (ed.), Credit Correlation Life After Copulas, chapter 2, pages 15-39, World Scientific Publishing Co. Pte. Ltd..

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (6) 2010-07-03 2014-05-09 2017-12-03 2020-02-17 2021-04-26 2022-01-10. Author is listed
  2. NEP-BAN: Banking (5) 2011-01-30 2011-12-13 2012-10-27 2013-04-06 2015-06-05. Author is listed
  3. NEP-FMK: Financial Markets (3) 2010-01-16 2015-11-07 2021-02-01
  4. NEP-RMG: Risk Management (3) 2009-11-21 2011-01-30 2022-01-10
  5. NEP-BEC: Business Economics (1) 2019-05-20
  6. NEP-BIG: Big Data (1) 2021-04-26
  7. NEP-CWA: Central and Western Asia (1) 2022-01-10
  8. NEP-ENE: Energy Economics (1) 2020-02-17
  9. NEP-GER: German Papers (1) 2015-08-30
  10. NEP-GTH: Game Theory (1) 2021-04-26
  11. NEP-URE: Urban and Real Estate Economics (1) 2010-01-16

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