Alessandro Gnoatto

According to our database, Alessandro Gnoatto authored at least 11 papers between 2014 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

CBI-time-changed Lévy processes for multi-currency modeling.

Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda

Ann. Oper. Res., May, 2024

2023

Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework.

Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger

SIAM J. Financial Math., March, 2023

A fully quantization-based scheme for FBSDEs.

Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli

Appl. Math. Comput., 2023

2022

Deep Quadratic Hedging.

Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli

CoRR, 2022

A deep solver for BSDEs with jumps.

Alessandro Gnoatto, Marco Patacca, Athena Picarelli

CoRR, 2022

2021

Cross Currency Valuation and Hedging in the Multiple Curve Framework.

Alessandro Gnoatto, Nicole Seiffert

SIAM J. Financial Math., 2021

A Unified Approach to xVA with CSA Discounting and Initial Margin.

Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva

SIAM J. Financial Math., 2021

2016

A general HJM framework for multiple yield curve modelling.

Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto

Finance Stochastics, 2016

2015

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models.

José Da Fonseca, Alessandro Gnoatto, Martino Grasselli

Oper. Res. Lett., 2015

2014

An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates.

Alessandro Gnoatto, Martino Grasselli

SIAM J. Financial Math., 2014

The Explicit Laplace Transform for the Wishart Process.

Alessandro Gnoatto, Martino Grasselli

J. Appl. Probab., 2014