Andrea Pallavicini

Finance · 2007–2017

A researcher in the Science corpus: 6 papers; trusts 18 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 36 citations into it; #6,073 of 10,518 by trust here, #5,165 by citations
• Economics and Econometrics — 12 citations into it; #19,961 of 23,481 by trust here, #18,597 by citations

Whom Andrea Pallavicini trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Damiano Brigo
2. Tomasz R. Bielecki
3. Mark Broadie
4. Filip Lindskog
5. Naoufel El-Bachir
6. Eymen Errais
7. Alexander J. McNeil
8. Agostino Capponi
9. Marek Rutkowski
10. A. Medvedev

Who trusts Andrea Pallavicini overall

1. Damiano Brigo
2. St'ephane Cr'epey
3. A. Lopatin
4. Tomasz R. Bielecki

Papers from Andrea Pallavicini's perspective

Ordered by how strongly the researchers Andrea Pallavicini trusts endorse each paper. Same corpus, a different order for every researcher.

1. Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation
2. The Pricing of Options and Corporate Liabilities
3. ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
4. Credit Default Swap Valuation with Counterparty Risk
5. Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swaps
6. ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
7. Thinking beyond Basel III: Necessary Solutions for Capital and Liquidity
8. Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models
9. BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
10. Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (ASTIN Bulletin: The Journal of the International Actuarial Association)

Their papers

• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS (2014) — 141 citations
• Rough volatility: Evidence from option prices (2017) — 102 citations
• Counterparty Credit Risk, Collateral and Funding: With Pricing Cases For All Asset Classes (2013) — 207 citations
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS (2011) — 57 citations
• Credit Models and the Crisis: A Journey into CDOs, Copulas, Correlations and Dynamic Models (2010) — 79 citations
• Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2007) — 120 citations