Andrea Pallavicini
Names
| first: |
Andrea |
| last: |
Pallavicini |
Identifer
Contact
Affiliations
-
Intesa Sanpaolo Group (weight: 50%)
- https://group.intesasanpaolo.com/en/
- location: Italy, Milano
Research profile
author of:
- Default correlation, cluster dynamics and single names: The GPCL dynamical loss model (RePEc:arx:papers:0812.4163)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations (RePEc:arx:papers:0911.3331)
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou - Credit models and the crisis, or: how I learned to stop worrying and love the CDOs (RePEc:arx:papers:0912.5427)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - Interest-Rate Modeling with Multiple Yield Curves (RePEc:arx:papers:1006.4767)
by Andrea Pallavicini & Marco Tarenghi - Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics (RePEc:arx:papers:1011.0828)
by Nicola Moreni & Andrea Pallavicini - Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting (RePEc:arx:papers:1101.3926)
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou - Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation (RePEc:arx:papers:1112.1521)
by Andrea Pallavicini & Daniele Perini & Damiano Brigo - Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting (RePEc:arx:papers:1207.2316)
by Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu - Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments (RePEc:arx:papers:1210.3811)
by Andrea Pallavicini & Daniele Perini & Damiano Brigo - Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs (RePEc:arx:papers:1304.1397)
by Andrea Pallavicini & Damiano Brigo - CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? (RePEc:arx:papers:1312.0128)
by Damiano Brigo & Andrea Pallavicini - CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach (RePEc:arx:papers:1401.3994)
by Damiano Brigo & Andrea Pallavicini - Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes (RePEc:arx:papers:1404.7314)
by Damiano Brigo & Qing Liu & Andrea Pallavicini & David Sloth - Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs (RePEc:arx:papers:1506.00686)
by Damiano Brigo & Marco Francischello & Andrea Pallavicini - Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization (RePEc:arx:papers:1507.08779)
by Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini - FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae (RePEc:arx:papers:1508.04321)
by Nicola Moreni & Andrea Pallavicini - A backward Monte Carlo approach to exotic option pricing (RePEc:arx:papers:1511.00848)
by Giacomo Bormetti & Giorgia Callegaro & Giulia Livieri & Andrea Pallavicini - Rough volatility: evidence from option prices (RePEc:arx:papers:1702.02777)
by Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum - An indifference approach to the cost of capital constraints: KVA and beyond (RePEc:arx:papers:1708.05319)
by Damiano Brigo & Marco Francischello & Andrea Pallavicini - Quantization goes Polynomial (RePEc:arx:papers:1710.11435)
by Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini - Risk-neutral valuation under differential funding costs, defaults and collateralization (RePEc:arx:papers:1802.10228)
by Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski - Smile Modelling in Commodity Markets (RePEc:arx:papers:1808.09685)
by Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli - On the consistency of jump-diffusion dynamics for FX rates under inversion (RePEc:arx:papers:1905.05310)
by Federico Graceffa & Damiano Brigo & Andrea Pallavicini - Funding Adjustments in Equity Linear Products (RePEc:arx:papers:1906.02561)
by Stefania Gabrielli & Andrea Pallavicini & Stefano Scoleri - Pricing commodity swing options (RePEc:arx:papers:2001.08906)
by Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli - A general framework for a joint calibration of VIX and VXX options (RePEc:arx:papers:2012.08353)
by Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini - Interpretability in deep learning for finance: a case study for the Heston model (RePEc:arx:papers:2104.09476)
by Damiano Brigo & Xiaoshan Huang & Andrea Pallavicini & Haitz Saez de Ocariz Borde - Chebyshev Greeks: Smoothing Gamma without Bias (RePEc:arx:papers:2106.12431)
by Andrea Maran & Andrea Pallavicini & Stefano Scoleri - Interpolating commodity futures prices with Kriging (RePEc:arx:papers:2110.13021)
by Andrea Maran & Andrea Pallavicini - Reinforcement learning for options on target volatility funds (RePEc:arx:papers:2112.01841)
by Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Stefano Polo - Rough-Heston Local-Volatility Model (RePEc:arx:papers:2206.09220)
by Enrico Dall'Acqua & Riccardo Longoni & Andrea Pallavicini - Pricing commodity index options (RePEc:arx:papers:2208.01289)
by Alberto Manzano & Emanuele Nastasi & Andrea Pallavicini & Carlos V'azquez - Machine learning methods for American-style path-dependent contracts (RePEc:arx:papers:2311.16762)
by Matteo Gambara & Giulia Livieri & Andrea Pallavicini - Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices (RePEc:arx:papers:2408.00784)
by Alberto Manzano & Emanuele Nastasi & Andrea Pallavicini & Carlos V'azquez - Risk-neutral versus objective loss distribution and CDO tranche valuation (RePEc:aza:rmfi00:y:2009:v:2:i:2:p:175-192)
by Torresetti, Roberto & Brigo, Damiano & Pallavicini, Andrea - Credit models and the crisis: An overview (RePEc:aza:rmfi00:y:2011:v:4:i:3:p:243-253)
by Brigo, Damiano & Pallavicini, Andrea & Torresetti, Roberto - Arbitrage-Free Bilateral Counterparty Risk Valuation Under Collateralization And Application To Credit Default Swaps (RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146)
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini - Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement (RePEc:eee:ejores:v:274:y:2019:i:2:p:788-805)
by Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea - Nonlinear Valuation with XVAs: Two Converging Approaches (RePEc:gam:jmathe:v:10:y:2022:i:5:p:791-:d:762470)
by Damiano Brigo & Cristin Buescu & Marco Francischello & Andrea Pallavicini & Marek Rutkowski - Stressing rating criteria allowing for default clustering: the CPDO case (RePEc:pra:mprapa:17104)
by Torresetti, Roberto & Pallavicini, Andrea - A general framework for a joint calibration of VIX and VXX options (RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-023-05205-9)
by Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini - Parsimonious HJM modelling for multiple yield curve dynamics (RePEc:taf:quantf:v:14:y:2014:i:2:p:199-210)
by N. Moreni & A. Pallavicini - Impact of multiple curve dynamics in credit valuation adjustments under collateralization (RePEc:taf:quantf:v:18:y:2018:i:1:p:31-44)
by Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini - Quantization goes polynomial (RePEc:taf:quantf:v:21:y:2021:i:3:p:361-376)
by Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini - Pricing commodity index options (RePEc:taf:quantf:v:23:y:2023:i:2:p:297-308)
by Alberto Pedro Manzano-Herrero & Emanuele Nastasi & Andrea Pallavicini & Carlos Vázquez - Rough volatility: Evidence from option prices (RePEc:taf:uiiexx:v:50:y:2018:i:9:p:767-776)
by Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum - On the consistency of jump-diffusion dynamics for FX rates under inversion (RePEc:wsi:ijfexx:v:07:y:2020:i:04:n:s2424786320500462)
by Federico Graceffa & Damiano Brigo & Andrea Pallavicini - Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names (RePEc:wsi:ijtafx:v:10:y:2007:i:04:n:s0219024907004342)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti - Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations (RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006759)
by Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou - Pricing Counterparty Risk Including Collateralization, Netting Rules, Re-Hypothecation And Wrong-Way Risk (RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s0219024913500076)
by Damiano Brigo & Agostino Capponi & Andrea Pallavicini & Vasileios Papatheodorou - A Note On The Self-Financing Condition For Funding, Collateral And Discounting (RePEc:wsi:ijtafx:v:18:y:2015:i:02:n:s0219024915500119)
by Damiano Brigo & Cristin Buescu & Andrea Pallavicini & Qing Liu - Derivative Pricing With Collateralization And Fx Market Dislocations (RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500406)
by Nicola Moreni & Andrea Pallavicini - Smile Modeling In Commodity Markets (RePEc:wsi:ijtafx:v:23:y:2020:i:03:n:s0219024920500193)
by Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli - Rough-Heston Local-Volatility Model (RePEc:wsi:ijtafx:v:26:y:2023:i:06n07:n:s0219024923500218)
by Enrico Dall’Acqua & Riccardo Longoni & Andrea Pallavicini - Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks (RePEc:wsi:jfexxx:v:01:y:2014:i:01:n:s2345768614500019)
by Damiano Brigo & Andrea Pallavicini - Cluster-Based Extension Of The Generalized Poisson Loss Dynamics And Consistency With Single Names (RePEc:wsi:wschap:9789812709509_0002)
by Damiano Brigo & Andrea Pallavicini & Roberto Torresetti