67 citations · 101 across the 16 of their papers we have counts for
3 papers · 1 filter
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…
A change of measure formula for recursive conditional expectations
Luca Di Persio, Alessandro Gnoatto, Marco Patacca
In this paper, we derive a representation for the value process associated to the solutions of FBSDEs in a jump-diffusion setting under multiple probability measures. Motivated by…
A Fully Quantization-based Scheme for FBSDEs
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pagès and Sagna (2018) so that our approach is fully ba…