Identifiers
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name variant
Andrea Pallavicini
0.60 · backfill
Papers (22)
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Funding Adjustments in Equity Linear Products
q-fin.MF · 2019 · author #2
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On the consistency of jump-diffusion dynamics for FX rates under inversion
q-fin.MF · 2019 · author #3
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Risk-neutral valuation under differential funding costs, defaults and collateralization
q-fin.PR · 2018 · author #4
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An indifference approach to the cost of capital constraints: KVA and beyond
q-fin.RM · 2017 · author #3
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Rough volatility: evidence from option prices
q-fin.ST · 2017 · author #3
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A backward Monte Carlo approach to exotic option pricing
q-fin.CP · 2015 · author #4
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FX Modelling in Collateralized Markets: foreign measures, basis curves, and pricing formulae
q-fin.PR · 2015 · author #2
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Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization
q-fin.PR · 2015 · author #4
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Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
q-fin.PR · 2015 · author #3
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Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
q-fin.PR · 2014 · author #3
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CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach
q-fin.PR · 2014 · author #2
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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?
q-fin.PR · 2013 · author #2
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Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs
q-fin.PR · 2013 · author #1
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Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments
q-fin.PR · 2012 · author #1
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Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
q-fin.PR · 2012 · author #3
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Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation
q-fin.PR · 2011 · author #1
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Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and Netting
q-fin.RM · 2011 · author #3
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Parsimonious HJM Modelling for Multiple Yield-Curve Dynamics
q-fin.PR · 2010 · author #2
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Interest-Rate Modeling with Multiple Yield Curves
q-fin.PR · 2010 · author #1
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Credit models and the crisis, or: how I learned to stop worrying and love the CDOs
q-fin.PR · 2009 · author #2
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Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
q-fin.PR · 2009 · author #2
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Default correlation, cluster dynamics and single names: The GPCL dynamical loss model
q-fin.PR · 2008 · author #2
Mentions
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1511.00848
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Andrea Pallavicini
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1508.04321
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Andrea Pallavicini
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1507.08779
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Andrea Pallavicini
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1506.00686
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Andrea Pallavicini
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1404.7314
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1401.3994
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1312.0128
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1304.1397
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1210.3811
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1207.2316
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1112.1521
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1101.3926
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1011.0828
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1006.4767
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0912.5427
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Andrea Pallavicini
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0911.3331
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Andrea Pallavicini
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0812.4163
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Andrea Pallavicini