67 citations · 101 across the 16 of their papers we have counts for
Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2025
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…
q-fin.CP2022
Deep Quadratic Hedging
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from t…