19 citations · 53 across the 22 of their papers we have counts for
4 papers · 1 filter
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…
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel
We introduce here for the first time the long-term swap rate, characterised as the fair rate of an overnight indexed swap with infinitely many exchanges. Furthermore we analyse the…
Affine HJM Framework on and Long-Term Yield
Francesca Biagini, Alessandro Gnoatto, Maximilian Härtel
We develop the HJM framework for forward rates driven by affine processes on the state space of symmetric positive matrices. In this setting we find a representation for the long-t…
Local Risk-Minimization under the Benchmark Approach
Francesca Biagini, Alessandra Cretarola, Eckhard Platen
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which wi…