2 citations · 2 across the 3 of their papers we have counts for
4 papers
Mild to classical solutions for XVA equations under stochastic volatility
Damiano Brigo, Federico Graceffa, Alexander Kalinin
We extend the valuation of contingent claims in presence of default, collateral and funding to a random functional setting and characterise pre-default value processes by martingal…
Common noise pullback attractors for stochastic dynamical systems
Federico Graceffa, Jeroen S. W. Lamb
We consider SDEs driven by two different sources of additive noise, which we refer to as intrinsic and common. We establish almost sure existence and uniqueness of pullback attract…
Price Impact on Term Structure
Damiano Brigo, Federico Graceffa, Eyal Neuman
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with…
On the consistency of jump-diffusion dynamics for FX rates under inversion
Federico Graceffa, Damiano Brigo, Andrea Pallavicini
In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given…