A general HJM framework for multiple yield curve modelling C Cuchiero, C Fontana, A Gnoatto
Finance and Stochastics 20, 267-320, 2016
76 2016 General closed-form basket option pricing bounds R Caldana, G Fusai, A Gnoatto, M Grasselli
Quantitative Finance 16 (4), 535-554, 2016
65 2016 Smiles all around: FX joint calibration in a multi-Heston model A De Col, A Gnoatto, M Grasselli
Journal of Banking & Finance 37 (10), 3799-3818, 2013
59 2013 Deep xva solver: A neural network–based counterparty credit risk management framework A Gnoatto, A Picarelli, C Reisinger
SIAM Journal on Financial Mathematics 14 (1), 314-352, 2023
54 2023 Affine multiple yield curve models C Cuchiero, C Fontana, A Gnoatto
Mathematical Finance 29 (2), 568-611, 2019
44 2019 The explicit Laplace transform for the Wishart process A Gnoatto, M Grasselli
Journal of Applied Probability 51 (3), 640-656, 2014
41 2014 The Wishart short rate model A Gnoatto
International Journal of Theoretical and Applied Finance 15 (08), 1250056, 2012
34 2012 An affine multicurrency model with stochastic volatility and stochastic interest rates A Gnoatto, M Grasselli
SIAM Journal on Financial Mathematics 5 (1), 493-531, 2014
31 2014 A deep solver for BSDEs with jumps A Gnoatto, M Patacca, A Picarelli
arXiv preprint arXiv:2211.04349, 2022
19 2022 Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models J Da Fonseca, A Gnoatto, M Grasselli
Operations Research Letters 43 (6), 601-607, 2015
19 2015 A flexible matrix Libor model with smiles J Da Fonseca, A Gnoatto, M Grasselli
Journal of Economic Dynamics and Control 37 (4), 774-793, 2013
18 2013 A unified approach to xVA with CSA discounting and initial margin F Biagini, A Gnoatto, I Oliva
SIAM Journal on Financial Mathematics 12 (3), 1013-1053, 2021
16 * 2021 A penny saved is a penny earned: Less expensive zero coupon bonds A Gnoatto, M Grasselli, E Platen
arXiv preprint arXiv:1608.04683, 2016
12 2016 Multiple yield curve modelling with CBI processes C Fontana, A Gnoatto, G Szulda
Mathematics and Financial Economics 15, 579-610, 2021
11 2021 Cross currency valuation and hedging in the multiple curve framework A Gnoatto, N Seiffert
SIAM Journal on Financial Mathematics 12 (3), 967-1012, 2021
7 2021 Affine HJM Framework on F Biagini, A Gnoatto, M Härtel
arXiv preprint arXiv:1311.0688, 2013
7 2013 Calibration to FX triangles of the 4/2 model under the benchmark approach A Gnoatto, M Grasselli, E Platen
Decisions in Economics and Finance 45 (1), 1-34, 2022
5 2022 CBI-time-changed Lévy processes for multi-currency modeling C Fontana, A Gnoatto, G Szulda
Annals of Operations Research 336 (1), 127-152, 2024
4 2024 A fully quantization-based scheme for FBSDEs G Callegaro, A Gnoatto, M Grasselli
Applied Mathematics and Computation 441, 127666, 2023
4 2023 Long-Term Yield in an Affine HJM Framework on F Biagini, A Gnoatto, M Härtel
Applied Mathematics & Optimization 77, 405-441, 2018
4 2018 