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Alessandro Gnoatto

Personal Details

First Name:Alessandro
Middle Name:
Last Name:Gnoatto
Suffix:
RePEc Short-ID:pgn28
[This author has chosen not to make the email address public]
http://www.alessandrognoatto.com

Affiliation

Dipartimento di Scienze Economiche
Università degli Studi di Verona

Verona, Italy
http://www.dse.univr.it/
RePEc:edi:isverit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kristoffer Andersson & Alessandro Gnoatto & Marco Patacca & Athena Picarelli, 2022. "A deep solver for BSDEs with jumps," Papers 2211.04349, arXiv.org, revised May 2025.
  2. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2022. "CBI-time-changed Lévy processes," Working Papers 05/2022, University of Verona, Department of Economics.
  3. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
  4. Giorgia Callegaro & Alessandro Gnoatto & Martino Grasselli, 2021. "A Fully Quantization-based Scheme for FBSDEs," Papers 2105.09276, arXiv.org.
  5. Luca Di Persio & Alessandro Gnoatto & Marco Patacca, 2021. "A change of measure formula for recursive conditional expectations," Papers 2111.08359, arXiv.org, revised Jul 2022.
  6. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021. "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers 06/2021, University of Verona, Department of Economics.
  7. Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver -- A neural network based counterparty credit risk management framework," Papers 2005.02633, arXiv.org, revised Dec 2022.
  8. Alessandro Gnoatto & Nicole Seiffert, 2020. "Cross Currency Valuation and Hedging in the Multiple Curve Framework," Papers 2001.11012, arXiv.org, revised Mar 2021.
  9. Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2019. "Multiple yield curve modelling with CBI processes," Papers 1911.02906, arXiv.org, revised Oct 2020.
  10. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "A unified approach to xVA with CSA discounting and initial margin," Papers 1905.11328, arXiv.org, revised Mar 2021.
  11. Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
  12. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "Affine multiple yield curve models," Papers 1603.00527, arXiv.org, revised Feb 2017.
  13. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016. "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Research Paper Series 374, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2015. "The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates," Papers 1507.00208, arXiv.org, revised Jun 2019.
  15. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2014. "A general HJM framework for multiple yield curve modeling," Working Papers hal-01011752, HAL.
  16. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
  17. Alessandro Gnoatto & Martino Grasselli, 2013. "An analytic multi-currency model with stochastic volatility and stochastic interest rates," Papers 1302.7246, arXiv.org, revised Mar 2013.
  18. Alessandro Gnoatto, 2012. "The Wishart short rate model," Papers 1203.5513, arXiv.org, revised May 2014.
  19. Jos'e Da Fonseca & Alessandro Gnoatto & Martino Grasselli, 2012. "A flexible matrix Libor model with smiles," Papers 1203.4786, arXiv.org.
  20. Alvise De Col & Alessandro Gnoatto & Martino Grasselli, 2012. "Smiles all around: FX joint calibration in a multi-Heston model," Papers 1201.1782, arXiv.org, revised Jun 2013.
  21. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.

Articles

  1. Alessandro Gnoatto & Blanka Horvath, 2022. "Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 1971-1972, November.
  2. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022. "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 1-34, June.
  3. Francesca Biagini & Alessandro Gnoatto & Maximilian Härtel, 2020. "General Analysis Of Long-Term Interest Rates," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-29, January.
  4. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2019. "Affine multiple yield curve models," Mathematical Finance, Wiley Blackwell, vol. 29(2), pages 568-611, April.
  5. Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
  6. Ruggero Caldana & Gianluca Fusai & Alessandro Gnoatto & Martino Grasselli, 2016. "General closed-form basket option pricing bounds," Quantitative Finance, Taylor & Francis Journals, vol. 16(4), pages 535-554, April.
  7. Christa Cuchiero & Claudio Fontana & Alessandro Gnoatto, 2016. "A general HJM framework for multiple yield curve modelling," Finance and Stochastics, Springer, vol. 20(2), pages 267-320, April.
  8. De Col, Alvise & Gnoatto, Alessandro & Grasselli, Martino, 2013. "Smiles all around: FX joint calibration in a multi-Heston model," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3799-3818.
  9. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
  10. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.

More information

Research fields, statistics, top rankings, if available.

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 10 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 (4) 2020-05-11 2020-08-24 2021-05-24 2022-12-19
  2. NEP-RMG: Risk Management (4) 2012-01-18 2020-05-11 2020-08-24 2022-01-24
  3. NEP-BIG: Big Data (2) 2020-05-11 2020-08-24
  4. NEP-MON: Monetary Economics (2) 2013-03-02 2020-08-31
  5. NEP-ORE: Operations Research (2) 2020-08-24 2020-08-31
  6. NEP-CBA: Central Banking (1) 2013-03-02
  7. NEP-ECM: Econometrics (1) 2011-07-27
  8. NEP-GEN: Gender (1) 2020-05-11
  9. NEP-IFN: International Finance (1) 2013-03-02
  10. NEP-MAC: Macroeconomics (1) 2020-08-31

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