Professor of Mathematical Finance

University of Verona - Dep. of Economics

via Cantarane, 24

37129 Verona - Italy

About Me

Alessandro Gnoatto

Applied Mathematician

I am an applied mathematician interested in probability, with a focus on mathematical finance, stochastic calculus and control, numerical methods. I am an experienced model developer in the context of FX and Interest Rates thanks to my experience as xVA front-office quant.

I offer a good combination of mathematical background and programming expertise, which allows me to manage projects in the domain of quantitative finance from the definition of a model up to its software implementation.

Work Experience

  • 03.2018 - present: Associate Professor of Mathematical Finance - UniVr - Verona
  • 09.2015 - 02.2018: Specialist Counterparty Credit Risk and CVA Trading - BayernLB - Munich
  • 03.2012 - 08.2015: Post-Doc researcher at Mathematics Institute - LMU University - Munich
  • 09.2011 - 02.2012: Junior Analyst Risk Management at Prometeia SpA - Bologna
  • 03.2008 - 08.2008: Internship as Derivative Analyst - Fondiaria Sai SpA - Milano
  • 06.2006 - 09.2006: Internship as Business Consultant - Studio System - Bassano del Grappa

Full CV Working paper

Publications

  1. Deep xVA solver - A neural network based counterparty credit risk management framework Working paper

    SIAM Journal on Financial Mathematics (2022) Accepted, (Joint work with A. Picarelli and C. Reisinger).

  2. A fully Quantization-Based scheme for FBSDEs Working paper

    Applied Mathematics and Computation (2023) 441, 127666 (Joint work with G. Callegaro and M. Grasselli).

  3. Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach. Working paper

    Decisions in Economics and Finance. (2022) 15(3), 579–610 (Joint work with M. Grasselli and E. Platen).

  4. CBI-time-changed Levy processes for multi-currency modeling . Working paper

    Annals of Operations Research (2022) (Joint work with C. Fontana and G. Szulda).

  5. A unified approach to xVA with CSA discounting and initial margin. Working paper

    SIAM Journal on Financial Mathematics (2021) 12(3), 1013–1053 (Joint work with F. Biagini and I. Oliva).

  6. Cross Currency Valuation and Hedging in the Multiple Curve Framework. Working paper

    SIAM Journal on Financial Mathematics (2021) 12(3), 967–1012 (Joint work with N. Seiffert).

  7. Multiple yield curve modelling with CBI processes. Working paper

    Mathematics and Financial Economics. (2021) 15(3), 579-610 (Joint work with C. Fontana and G. Szulda).

  8. General analysis of long-term interest rates. Working paper

    International Journal of Theoretical and Applied Finance, 23(01) (2020) 2050002 (Joint work with F. Biagini and M. Härtel).

  9. Affine multiple yield curve models Working paper

    Mathematical Finance, 29(2) (2019) 568-611. (Joint work with C. Cuchiero and C. Fontana).

  10. Long-term yield in an affine HJM framework on on Sd+Working paper

    Applied Mathematics and Optimization, (2018) 77(3) 405-441 (Joint work with F. Biagini and M. Härtel).

  11. Coherent foreign exchange market models. Working paper

    International Journal of Theoretical and Applied Finance 20(1). (2017)

  12. A general HJM framework for multiple yield curve modeling Working paper

    Finance and Stochastics, 20(2) (2016) 267-320 (Joint work with C. Cuchiero and C. Fontana).

  13. Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models. Working paper

    Operations Research Letters, 43(6):601-607. (2015) (Joint work with J. Da Fonseca and M. Grasselli).

  14. General closed-form basket option pricing bounds Working paper

    Quantitative Finance, 16(4) (2015) 535-554 (Joint work with R. Caldana, G. Fusai, and M. Grasselli).

  15. An affine multi-currency model with stochastic volatility and stochastic interest rates Working paper

    SIAM Journal on Financial Mathematics, 5(1):493-531. (2014) (Joint work with M. Grasselli).

  16. The explicit Laplace transform for the Wishart process Working paper

    Journal of Applied Probability, 51(3). (2014) (Joint work with M. Grasselli).

  17. Smiles all around: FX joint calibration in a multi-Heston model Working paper

    Journal of Banking and Finance, 7(10):3799-3818. (2013) (Joint work with A. De Col and M. Grasselli)

  18. A flexible matrix Libor model with smiles Working paper

    Journal of Economic Dynamics and Control 37(4):774-793. (2013) (Joint work with J. Da Fonseca and M. Grasselli).

  19. The Wishart short rate model Working paper

    International Journal of Theoretical and Applied Finance 15(8). (2012)

Other Publications

  1. Book Review: Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes. Working paper

    Quantitative Finance 22(11) 1971-1972 (2022) (Joint work with B. Horvath)-

Working Papers

  1. A change of measure formula for recursive conditional expectations. Working paper

    Preprint, Submitted (Joint work with L. Di Persio and M. Patacca)

  2. CBI-time-changed Levy processes.Working paper

    Preprint. Submitted. (Joint work with C. Fontana and G. Szulda)

  3. A Deep solver for BSDEs with jumps.Working paper

    Preprint. Submitted. (Joint work with M. Patacca and A. Picarelli)

  4. Deep Quadratic Hedging"Working paper

    Preprint. Submitted. (Joint work with S. Lavagnini and A. Picarelli)