Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement D Brigo, M Francischello, A Pallavicini European Journal of Operational Research 274 (2), 788-805, 2019 | 43* | 2019 |
Analysis of nonlinear valuation equations under credit and funding effects D Brigo, M Francischello, A Pallavicini Innovations in Derivatives Markets: Fixed Income Modeling, Valuation …, 2016 | 31 | 2016 |
Risk-neutral valuation under differential funding costs, defaults and collateralization D Brigo, C Buescu, M Francischello, A Pallavicini, M Rutkowski arXiv preprint arXiv:1802.10228, 2018 | 18 | 2018 |
Impact of multiple curve dynamics in credit valuation adjustments under collateralization G Bormetti, D Brigo, M Francischello, A Pallavicini Quantitative Finance 18 (1), 31-44, 2018 | 11 | 2018 |
An indifference approach to the cost of capital constraints: KVA and beyond D Brigo, M Francischello, A Pallavicini arXiv preprint arXiv:1708.05319, 2017 | 7 | 2017 |
On the design of sovereign bond-backed securities E Barucci, D Brigo, M Francischello, D Marazzina International Journal of Financial Engineering 9 (01), 2150033, 2022 | 5 | 2022 |
Nonlinear valuation with XVAs: two converging approaches D Brigo, C Buescu, M Francischello, A Pallavicini, M Rutkowski Mathematics 10 (5), 791, 2022 | 5 | 2022 |
Impact of multiple-curve dynamics in credit valuation adjustments G Bormetti, D Brigo, M Francischello, A Pallavicini Innovations in Derivatives Markets: Fixed Income Modeling, Valuation …, 2016 | 3 | 2016 |
Optimal Ramsey Taxation with Social Security F Del Prato, M Francischello, M Paradisi Netspar, Network for Studies on Pensions, Aging and Retirement, 2022 | | 2022 |
Retirement Policies, Sustainability and Inequality: a Comprehensive Framework F Del Prato, M Francischello, M Paradisi | | 2022 |
A panoramic view of nonlinear valuation encompassing valuation adjustments M Francischello Imperial College London, 2018 | | 2018 |
VALUATION ADJUSTMENTS FOR INTEREST RATE CONTRACTS IN A MULTI-CURVE FRAMEWORK DG Bormetti, M Francischello | | |