67 citations · 101 across the 16 of their papers we have counts for
13 papers · 1 filter
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…
CBI-time-changed Lévy processes for multi-currency modeling
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed Lévy processes. The proposed framework captures the typical risk characteris…
Cross Currency Valuation and Hedging in the Multiple Curve Framework
Alessandro Gnoatto, Nicole Seiffert
We generalize the results of Bielecki and Rutkowski (2015) on funding and collateralization to a multi-currency framework and link their results with those of Piterbarg (2012), Mor…
Multiple yield curve modelling with CBI processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We develop a modelling framework for multiple yield curves driven by continuous-state branching processes with immigration (CBI processes). Exploiting the self-exciting behavior of…
A unified approach to xVA with CSA discounting and initial margin
Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults…
A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds
Alessandro Gnoatto, Martino Grasselli, Eckhard Platen
In this paper we show how to hedge a zero coupon bond with a smaller amount of initial capital than required by the classical risk neutral paradigm, whose (trivial) hedging strateg…