67 citations · 101 across the 16 of their papers we have counts for
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q-fin.PR2019
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…
q-fin.PR2019
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…