Alessandro Gnoatto

17 papers Journal 17
YearRankTypeTitle / Venue / Authors
2025 J jnl
A Deep Solver for BSDEs with Jumps.
SIAM J. Financial Math.
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca, Athena Picarelli
2025 J jnl
A deep solver for backward stochastic Volterra integral equations.
CoRR
Kristoffer Andersson, Alessandro Gnoatto, Camilo A. Garcia Trillos
2025 J jnl
Convergence of a Deep BSDE solver with jumps.
CoRR
Alessandro Gnoatto, Katharina Oberpriller, Athena Picarelli
2025 J jnl
Deep Quadratic Hedging.
Math. Oper. Res.
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
2024 J jnl
CBI-time-changed Lévy processes for multi-currency modeling.
Ann. Oper. Res.
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
2024 J jnl
Quantization of stochastic volatility models: Numerical tests and an open source implementation.
Math. Comput. Simul.
Alessandro Fina, Alessandro Gnoatto, Athena Picarelli
2023 J jnl
A fully quantization-based scheme for FBSDEs.
Appl. Math. Comput.
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
2023 J jnl
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework.
SIAM J. Financial Math.
Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger
2022 J jnl
A deep solver for BSDEs with jumps.
CoRR
Alessandro Gnoatto, Marco Patacca, Athena Picarelli
2022 J jnl
Deep Quadratic Hedging.
CoRR
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
2021 J jnl
A Fully Quantization-based Scheme for FBSDEs.
CoRR
Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli
2021 J jnl
A Unified Approach to xVA with CSA Discounting and Initial Margin.
SIAM J. Financial Math.
Francesca Biagini, Alessandro Gnoatto, Immacolata Oliva
2021 J jnl
Cross Currency Valuation and Hedging in the Multiple Curve Framework.
SIAM J. Financial Math.
Alessandro Gnoatto, Nicole Seiffert
2016 J jnl
A general HJM framework for multiple yield curve modelling.
Finance Stochastics
Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto
2015 J jnl
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models.
Oper. Res. Lett.
José Da Fonseca, Alessandro Gnoatto, Martino Grasselli
2014 J jnl
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates.
SIAM J. Financial Math.
Alessandro Gnoatto, Martino Grasselli
2014 J jnl
The Explicit Laplace Transform for the Wishart Process.
J. Appl. Probab.
Alessandro Gnoatto, Martino Grasselli