67 citations · 101 across the 16 of their papers we have counts for
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q-fin.MF2020★ 2 cited
Deep xVA solver -- A neural network based counterparty credit risk management framework
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes tradit…
q-fin.PR2020
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…