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X
Pallavicini, Andrea
446  Ergebnisse:
Personensuche X
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1

Swing option pricing consistent with futures smiles:

Daluiso, Roberto ; Nastasi, Emanuele ; Pallavicini, Andrea.
Applied Stochastic Models in Business and Industry.  , 2023
Link: https://doi.org/10.1002/..
 
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2

A general framework for a joint calibration of VIX and VXX ..:

Grasselli, Martino ; Mazzoran, Andrea ; Pallavicini, Andrea
Annals of Operations Research.  336 (2023)  1-2 - p. 3-26 , 2023
Link: https://doi.org/10.1007/..
 
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3

Pricing commodity index options:

Manzano-Herrero, Alberto Pedro ; Nastasi, Emanuele ; Pallavicini, Andrea.
Quantitative Finance.  23 (2022)  2 - p. 297-308 , 2022
Link: https://doi.org/10.1080/..
 
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4

Nonlinear Valuation with XVAs: Two Converging Approaches:

Brigo, Damiano ; Buescu, Cristin ; Francischello, Marco..
Mathematics.  10 (2022)  5 - p. 791 , 2022
Link: https://doi.org/10.3390/..
 
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5

Quantization goes polynomial:

Callegaro, Giorgia ; Fiorin, Lucio ; Pallavicini, Andrea
Quantitative Finance.  21 (2020)  3 - p. 361-376 , 2020
Link: https://doi.org/10.1080/..
 
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6

Nonlinear valuation under credit, funding, and margins: Exi..:

Brigo, Damiano ; Francischello, Marco ; Pallavicini, Andrea
European Journal of Operational Research.  274 (2019)  2 - p. 788-805 , 2019
Link: https://doi.org/10.1016/..
 
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7

Rough volatility: Evidence from option prices:

Livieri, Giulia ; Mouti, Saad ; Pallavicini, Andrea.
IISE Transactions.  50 (2018)  9 - p. 767-776 , 2018
Link: https://doi.org/10.1080/..
 
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8

Impact of multiple curve dynamics in credit valuation adjus..:

Bormetti, Giacomo ; Brigo, Damiano ; Francischello, Marco.
Quantitative Finance.  18 (2017)  1 - p. 31-44 , 2017
Link: https://doi.org/10.1080/..
 
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9

Analysis of Nonlinear Valuation Equations Under Credit and ..:

, In: Innovations in Derivatives Markets; Springer Proceedings in Mathematics & Statistics,
Brigo, Damiano ; Francischello, Marco ; Pallavicini, Andrea - p. 37-52 , 2016
Link: https://doi.org/10.1007/..
 
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10

Nonlinearity Valuation Adjustment:

, In: Innovations in Derivatives Markets; Springer Proceedings in Mathematics & Statistics,
Brigo, Damiano ; Liu, Qing D. ; Pallavicini, Andrea. - p. 3-35 , 2016
Link: https://doi.org/10.1007/..
 
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11

Impact of Multiple-Curve Dynamics in Credit Valuation Adjus..:

, In: Innovations in Derivatives Markets; Springer Proceedings in Mathematics & Statistics,
Bormetti, Giacomo ; Brigo, Damiano ; Francischello, Marco. - p. 251-266 , 2016
Link: https://doi.org/10.1007/..
 
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12

Counterparty credit risk, collateral and funding: with pric.. 

[Wiley finance series]
Brigo, Damiano ; Morini, Massimo ; Pallavicini, Andrea , 2013
Link: https://onlinelibrary.wi..
 
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13

Stressing Rating Criteria Allowing for Default Clustering: ..:

, In: Credit Risk Frontiers,
Torresetti, Roberto ; Pallavicini, Andrea - p. 619-648 , 2012
Link: https://doi.org/10.1002/..
 
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14

ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER ..:

Brigo, Damiano ; Capponi, Agostino ; Pallavicini, Andrea
Mathematical Finance.  24 (2012)  1 - p. 125-146 , 2012
Link: https://doi.org/10.1111/..
 
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15

Credit models and the crisis: a journey into CDOs, Copulas,..:

Brigo, Damiano ; Pallavicini, Andrea ; Torresetti, Roberto , 2010
Link: https://onlinelibrary.wi..
 
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