228 citations · 531 across the 6 of their papers we have counts for
6 papers
Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
Andrea Pallavicini, Daniele Perini, Damiano Brigo
The main result of this paper is a collateralized counterparty valuation adjusted pricing equation, which allows to price a deal while taking into account credit and debit valuatio…
Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
Andrea Pallavicini, Daniele Perini, Damiano Brigo
In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counterparty credit risk. We consider realistic settings and we inclu…
On the Ultraviolet Behaviour of Newton's constant
Roberto Percacci, Daniele Perini
We clarify a point concerning the ultraviolet behaviour of the Quantum Field Theory of gravity, under the assumption of the existence of an ultraviolet Fixed Point. We explain why…
Gravity and Matter with Asymptotic Safety
Daniele Perini
Building a consistent Quantum Theory of Gravity is one of the most challenging aspects of modern theoretical physics. In the past couple of years, new attempts have been made along…
Asymptotic Safety of Gravity Coupled to Matter
Roberto Percacci, Daniele Perini
Nonperturbative treatments of the UV limit of pure gravity suggest that it admits a stable fixed point with positive Newton's constant and cosmological constant. We prove that this…
Contraints on Matter from Asymptotic Safety
Roberto Percacci, Daniele Perini
Recent studies of the ultraviolet behaviour of pure gravity suggest that it admits a non-Gaussian attractive fixed point, and therefore that the theory is asymptotically safe. We c…