1

General closed-form basket option pricing bounds

Caldana, Ruggero, Fusai, Gianluca, Gnoatto, Alessandro, Grasselli, Martino
Journal:
Quantitative Finance
Year:
2016
Language:
english
File:
PDF, 542 KB
english, 2016
6

THE WISHART SHORT RATE MODEL

GNOATTO, ALESSANDRO
Journal:
International Journal of Theoretical and Applied Finance
Year:
2012
Language:
english
File:
PDF, 692 KB
english, 2012
7

General Closed-Form Basket Option Pricing Bounds

Caldana, Ruggero, Fusai, Gianluca, Gnoatto, Alessandro, Grasselli, Martino
Journal:
SSRN Electronic Journal
Year:
2014
Language:
english
File:
PDF, 1.99 MB
english, 2014
8

Smiles All Around: FX Joint Calibration in a Multi-Heston Model

De Col, Alvise, Gnoatto, Alessandro, Grasselli, Martino
Journal:
SSRN Electronic Journal
Year:
2012
Language:
english
File:
PDF, 4.39 MB
english, 2012
9

COHERENT FOREIGN EXCHANGE MARKET MODELS

GNOATTO, ALESSANDRO
Journal:
International Journal of Theoretical and Applied Finance
Year:
2017
Language:
english
File:
PDF, 421 KB
english, 2017
10

Coherent Foreign Exchange Market Models

Gnoatto, Alessandro
Journal:
SSRN Electronic Journal
Year:
2013
Language:
english
File:
PDF, 352 KB
english, 2013
11

The Wishart Short-Rate Model

Gnoatto, Alessandro
Journal:
SSRN Electronic Journal
Year:
2012
Language:
english
File:
PDF, 6.65 MB
english, 2012
12

A flexible matrix Libor model with smiles

Da Fonseca, José, Gnoatto, Alessandro, Grasselli, Martino
Journal:
Journal of Economic Dynamics and Control
Year:
2013
Language:
english
File:
PDF, 1.14 MB
english, 2013
14

Affine multiple yield curve models

Cuchiero, Christa, Fontana, Claudio, Gnoatto, Alessandro
Journal:
Mathematical Finance
Year:
2018
Language:
english
File:
PDF, 918 KB
english, 2018
16

A Flexible Matrix Libor Model with Smiles

Gnoatto, Alessandro, Grasselli, Martino, Da Fonseca, José
Journal:
SSRN Electronic Journal
Year:
2012
Language:
english
File:
PDF, 1.86 MB
english, 2012
17

A general HJM framework for multiple yield curve modelling

Cuchiero, Christa, Fontana, Claudio, Gnoatto, Alessandro
Journal:
Finance and Stochastics
Year:
2016
Language:
english
File:
PDF, 2.32 MB
english, 2016
18

The Explicit Laplace Transform for the Wishart Process

Gnoatto, Alessandro, Grasselli, Martino
Journal:
Journal of Applied Probability
Year:
2014
Language:
english
File:
PDF, 181 KB
english, 2014
19

The explicit Laplace transform for the Wishart process

Gnoatto, Alessandro, Grasselli, Martino
Journal:
Journal of Applied Probability
Year:
2014
Language:
english
File:
PDF, 217 KB
english, 2014