Specialist Counterparty Credit Risk and CVA Trading

BayernLB

Briennerstr. 18

80333 Munich - Germany

About Me

Alessandro Gnoatto PhD

Financial Mathematician

I am a quantitative analyst with international academic experience (PhD and Post-Doc). I have a keen interest in the use of mathematical tools for the description of financial markets. I am an experienced model developer in the context of FX and Interest Rates.

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

  • 09.2015 - present: 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

A general HJM framework for multiple yield curve modeling Working paper

Finance and Stochastics, Accepted. (2015)

Joint work with C. Cuchiero and C. Fontana.


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.


General closed-form basket option pricing bounds Working paper

Quantitative Finance, Accepted. (2015)

Joint work with R. Caldana, G. Fusai, and M. Grasselli.


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.


The explicit Laplace transform for the Wishart process Working paper

Journal of Applied Probability, 51(3). (2014)

Joint work with M. Grasselli.


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.


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.


The Wishart short rate model Working paper

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

Working Papers

The long-term swap rate and a general analysis of long-term interest rates. Working paper

Preprint, Submitted. (2015)

Joint work with F. Biagini and M. Härtel.


Affine HJM framework on Sd+ and long-term yield Working paper

Preprint, Submitted. (2013)

Joint work with F. Biagini and M. Härtel.


Coherent foreign exchange market models. Working paper

Preprint, Submitted. (2013)