Alessandro Gnoatto

Publication Activity (10 Years)

Years Active: 2014-2024
Publications (10 Years): 10

Top Topics

Stochastic Models

Quantization Scheme

Risk Management

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Ann. Oper. Res.

Publications

Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
CBI-time-changed Lévy processes for multi-currency modeling. Ann. Oper. Res. 336 (1-2) (2024)
Alessandro Fina, Alessandro Gnoatto, Athena Picarelli
Quantization of stochastic volatility models: Numerical tests and an open source implementation. Math. Comput. Simul. 225 (2024)
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. SIAM J. Financial Math. 14 (1) (2023)
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
A fully quantization-based scheme for FBSDEs. Appl. Math. Comput. 441 (2023)
Alessandro Gnoatto, Marco Patacca, Athena Picarelli
A deep solver for BSDEs with jumps. CoRR (2022)
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
Deep Quadratic Hedging. CoRR (2022)
Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva
A Unified Approach to xVA with CSA Discounting and Initial Margin. SIAM J. Financial Math. 12 (3) (2021)
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
A Fully Quantization-based Scheme for FBSDEs. CoRR (2021)
Alessandro Gnoatto, Nicole Seiffert
Cross Currency Valuation and Hedging in the Multiple Curve Framework. SIAM J. Financial Math. 12 (3) (2021)
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
A general HJM framework for multiple yield curve modelling. Finance Stochastics 20 (2) (2016)
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models. Oper. Res. Lett. 43 (6) (2015)
Alessandro Gnoatto, Martino Grasselli
The Explicit Laplace Transform for the Wishart Process. J. Appl. Probab. 51 (3) (2014)
Alessandro Gnoatto, Martino Grasselli
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates. SIAM J. Financial Math. 5 (1) (2014)