67 citations · 101 across the 16 of their papers we have counts for
26 papers
An Optimal Energy Production Problem with Energy Source Switching and Load Following Nuclear Power Plants
Fabio Baschetti, Alessandro Gnoatto, Athena Picarelli
The integration of weather-dependent renewable generation increases the volatility of residual demand and raises the value of dispatchable low-carbon flexibility. This paper studie…
A deep solver for backward stochastic Volterra integral equations
Kristoffer Andersson, Alessandro Gnoatto, Camilo Andrés García Trillos
We present the first deep-learning solver for backward stochastic Volterra integral equations (BSVIEs) and their fully-coupled forward-backward variants. The method trains a neural…
Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
Kristoffer Andersson, Alessandro Gnoatto
We propose a structural default model for portfolio-wide valuation adjustments (xVAs) and represent it as a system of coupled backward stochastic differential equations. The framew…
When defaults cannot be hedged: xVA calculations via local risk-minimization
Francesca Biagini, Alessandro Gnoatto, Katharina Oberpriller
We consider the pricing and hedging of counterparty credit risk and funding when there is no possibility to hedge the jump to default of either the bank or the counterparty. This r…
Convergence of a Deep BSDE solver with jumps
Alessandro Gnoatto, Katharina Oberpriller, Athena Picarelli
We study the error arising in the numerical approximation of FBSDEs and related PIDEs by means of a deep learning-based method. Our results focus on decoupled FBSDEs with jumps and…
Cross-Currency Heath-Jarrow-Morton Framework in the Multiple-Curve Setting
Alessandro Gnoatto, Silvia Lavagnini
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any cu…