67 citations · 101 across the 16 of their papers we have counts for
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q-fin.PR2016
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…
q-fin.MF2016
Affine multiple yield curve models
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, ca…