Alessandro Gnoatto

Katharina Oberpriller

CoRR, January, 2025

2024

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

[BibT_eX]

[DOI]

Claudio Fontana

Guillaume Szulda

Ann. Oper. Res., May, 2024

Quantization of stochastic volatility models: Numerical tests and an open source implementation.

[BibT_eX]

[DOI]

Alessandro Fina

Math. Comput. Simul., 2024

2023

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

[BibT_eX]

[DOI]

Christoph Reisinger

SIAM J. Financial Math., March, 2023

A fully quantization-based scheme for FBSDEs.

[BibT_eX]

[DOI]

Giorgia Callegaro

Appl. Math. Comput., 2023

2022

Deep Quadratic Hedging.

[BibT_eX]

[DOI]

Silvia Lavagnini

CoRR, 2022

A deep solver for BSDEs with jumps.

[BibT_eX]

[DOI]

Marco Patacca

CoRR, 2022

2021

Cross Currency Valuation and Hedging in the Multiple Curve Framework.

[BibT_eX]

[DOI]

Nicole Seiffert

SIAM J. Financial Math., 2021

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

[BibT_eX]

[DOI]

Francesca Biagini

Immacolata Oliva

SIAM J. Financial Math., 2021

2016

A general HJM framework for multiple yield curve modelling.

[BibT_eX]

[DOI]

Christa Cuchiero

Claudio Fontana

Finance Stochastics, 2016

2015

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

[BibT_eX]

[DOI]

José Da Fonseca

Oper. Res. Lett., 2015

2014

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

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2014

The Explicit Laplace Transform for the Wishart Process.

[BibT_eX]

[DOI]