Alessandro Gnoatto
University of Verona
63 Papers
320 Citations
Alessandro Gnoatto is an academic researcher from University of Verona. The author has contributed to research in topics: Stochastic volatility & Yield curve. The author has an hindex of 13, co-authored 56 publications. Previous affiliations of Alessandro Gnoatto include University of Padua & Ludwig Maximilian University of Munich.
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Papers
A general HJM framework for multiple yield curve modelling
TL;DR: In this paper, a general framework for modeling multiple yield curves which emerged after the last financial crisis is proposed, which allows unifying and extending several recent approaches to multiple yield curve modelling.
A General HJM Framework for Multiple Yield Curve Modeling
TL;DR: A general framework for modelling multiple yield curves which have emerged after the last financial crisis is proposed and an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates is provided.
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A general HJM framework for multiple yield curve modeling
TL;DR: In this paper, the authors propose a general framework for modeling multiple yield curves which have emerged after the last financial crisis and provide an HJM approach to model the term structure of multiplicative spreads between FRA rates and simply compounded OIS risk-free forward rates.
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Affine multiple yield curve models
TL;DR: In this paper, a flexible and tractable approach based on affine processes is proposed to model multiple yield curves. But the approach is limited to the case of a model driven by a Wishart process.
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Deep xVA solver -- A neural network based counterparty credit risk management framework
TL;DR: This paper utilises a coupled system of BSDEs for the valuation adjustments (xVA) and solves these by a recursive application of a neural network based BSDE solver that makes the computation of xVA for high-dimensional problems feasible, but also produces hedge ratios and dynamic risk measures for xVA.
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