67 citations · 101 across the 16 of their papers we have counts for
3 papers · 1 filter
A flexible matrix Libor model with smiles
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changi…
The Wishart short rate model
Alessandro Gnoatto
We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We derive sufficient conditions ensuring that the model replicates nor…
Smiles all around: FX joint calibration in a multi-Heston model
Alvise De Col, Alessandro Gnoatto, Martino Grasselli
We introduce a novel multi-factor Heston-based stochastic volatility model, which is able to reproduce consistently typical multi-dimensional FX vanilla markets, while retaining th…