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Veröffentlichungsdatum
Anzahl der Publikationen: 12
2021
Biagini, Francesca 
ORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Oliva, Immacolata
(2021):
A Unified Approach to xVA with CSA Discounting and Initial Margin.
In: SIAM Journal on Financial Mathematics, Bd. 12, Nr. 3: S. 1013-1053
ORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Oliva, Immacolata
(2021):
A Unified Approach to xVA with CSA Discounting and Initial Margin.
In: SIAM Journal on Financial Mathematics, Bd. 12, Nr. 3: S. 1013-1053
2020
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Haertel, Maximilian
(2020):
General analysis of long-term interest rates.
In: International Journal of Theoretical and Applied Finance, Bd. 23, Nr. 1, 2050002
ORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Haertel, Maximilian
(2020):
General analysis of long-term interest rates.
In: International Journal of Theoretical and Applied Finance, Bd. 23, Nr. 1, 2050002
2018
Biagini, Francesca ORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Härtel, Maximilian
(2018):
Long-Term Yield in an Affine HJM Framework on S-d(+).
In: Applied Mathematics and Optimization, Bd. 77, Nr. 3: S. 405-441
ORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Härtel, Maximilian
(2018):
Long-Term Yield in an Affine HJM Framework on S-d(+).
In: Applied Mathematics and Optimization, Bd. 77, Nr. 3: S. 405-441
2017
Gnoatto, Alessandro
(2017):
Coherent Foreign Exchange Market Models.
In: International Journal of theoretical and Applied Finance, Bd. 20, Nr. 1, 1750007
2016
Cuchiero, Christa; Fontana, Claudio und Gnoatto, Alessandro
(2016):
A general HJM framework for multiple yield curve modelling.
In: Finance and Stochastics, Bd. 20, Nr. 2: S. 267-320
Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro und Grasselli, Martino
(2016):
General closed-form basket option pricing bounds.
In: Quantitative Finance, Bd. 16, Nr. 4: S. 535-554
2014
Gnoatto, Alessandro und Grasselli, Martino
(2014):
The Explicit Laplace Transform for the Wishart Process.
In: Journal of Applied Probability, Bd. 51, Nr. 3: S. 640-656
Gnoatto, Alessandro und Grasselli, Martino
(2014):
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates.
In: SIAM Journal on Financial Mathematics, Bd. 5, Nr. 1: S. 493-531
Da Fonseca, Joss; Gnoatto, Alessandro und Grasselli, Martino
(2014):
Analytic Pricing of Volatility-Equity Options within Affine Models: An Efficient Conditioning Technique.
SSRN
2013
Da Fonseca, José; Gnoatto, Alessandro und Grasselli, Martino
(2013):
A flexible matrix Libor model with smiles.
In: Journal of Economic Dynamics and Control, Bd. 37, Nr. 4: S. 774-793
De Col, Alvise; Gnoatto, Alessandro und Grasselli, Martino
(2013):
Smiles all around: FX joint calibration in a multi-Heston model.
In: Journal of Banking & Finance, Bd. 37, Nr. 10: S. 3799-3818
2012
Gnoatto, Alessandro
(2012):
The Wishart short rate model.
In: International Journal of Theoretical and Applied Finance, Bd. 15, Nr. 08, 1250056