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Calibration to FX triangles of the 4/2 model under the benchmark approach
Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021
Persistent link: https://www.econbiz.de/10013347384
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A fully quantization-based scheme for FBSDEs
Callegaro, Giorgia; Gnoatto, Alessandro; Grasselli, Martino - 2021
Persistent link: https://www.econbiz.de/10013347389
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Cross currency valuation and hedging in the multiple curve framework
Gnoatto, Alessandro; Seiffert, Nicole - 2020
Persistent link: https://www.econbiz.de/10012307257
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Deep xVA solver : a neural network based counterparty credit risk management framework
Gnoatto, Alessandro; Picarelli, Athena; Reisinger, Christoph - 2020
Persistent link: https://www.econbiz.de/10012307295
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CBI-time-changed Lévy processes for multi-currency modeling
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2021
Persistent link: https://www.econbiz.de/10013347432
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CBI-time-changed Lévy processes
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume - 2022
Persistent link: https://www.econbiz.de/10013347447
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A change of measure formula for recursive conditional expectations
Di Persio, Luca; Gnoatto, Alessandro; Patacca, Marco - 2021
Persistent link: https://www.econbiz.de/10013347592
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Cross-currency Heath-Jarrow-Morton framework in the multiple-curve setting
Gnoatto, Alessandro; Lavagnini, Silvia - 2023
Persistent link: https://www.econbiz.de/10014443581
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A deep solver for BSDEs with jumps
Gnoatto, Alessandro; Patacca, Marco; Picarelli, Athena - 2022
Persistent link: https://www.econbiz.de/10013535740
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Deep Quadratic Hedging
Gnoatto, Alessandro; Lavagnini, Silvia; Picarelli, Athena - 2022
Persistent link: https://www.econbiz.de/10013535748