Search Results for author: Alessandro Gnoatto

Found 6 papers, 2 papers with code

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

no code implementations4 Dec 2021 Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda

We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes.

Deep xVA solver -- A neural network based counterparty credit risk management framework

1 code implementation6 May 2020 Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger

In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.

Cross Currency Valuation and Hedging in the Multiple Curve Framework

no code implementations29 Jan 2020 Alessandro Gnoatto, Nicole Seiffert

We generalize the results of Bielecki and Rutkowski (2015) on funding and collateralization to a multi-currency framework and link their results with those of Piterbarg (2012), Moreni and Pallavicini (2017), and Fujii et al. (2010b).

Multiple yield curve modelling with CBI processes

no code implementations7 Nov 2019 Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda

We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes).


A unified approach to xVA with CSA discounting and initial margin

1 code implementation27 May 2019 Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva

In this paper we extend the existing literature on xVA along three directions.

Pricing of Securities

The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates

no code implementations1 Jul 2015 Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel

Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, see Biagini et al. [2018], Biagini and H\"artel [2014], and El Karoui et al. [1997], and the long-term simple rate, considered in Brody and Hughston [2016] as long-term discounting rate.

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