1 code implementation • 6 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.
1 code implementation • 24 Dec 2022 • Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
We present a novel computational approach for quadratic hedging in a high-dimensional incomplete market.
1 code implementation • 27 May 2019 • Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva
In this paper we extend the existing literature on xVA along three directions.
Pricing of Securities
no code implementations • 1 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.
no code implementations • 7 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).
no code implementations • 29 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).
no code implementations • 4 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.
no code implementations • 20 Dec 2023 • Alessandro Gnoatto, Silvia Lavagnini
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments.