Professor of Mathematical Finance

University of Verona - Dep. of Economics

via Cantarane, 24

37129 Verona - Italy

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

  • 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

Affine multiple yield curve models Working paper

Mathematical Finance, Accepted. (2017)

Joint work with C. Cuchiero and C. Fontana.


Coherent foreign exchange market models. Working paper

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


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.