Marco Francischello

Imperial College Business School

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

672

SSRN CITATIONS
Rank 42,615

SSRN RANKINGS

Top 42,615

in Total Papers Citations

4

CROSSREF CITATIONS

13

Scholarly Papers (5)

1.

Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

Number of pages: 28 Posted: 31 Jul 2015 Last Revised: 14 Sep 2015
University of Bologna - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 238 (158,052)

Abstract:

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Yield Curve Dynamics, Multiple Curve Framework, HJM Framework, Interest Rate Derivatives, Basis Swaps, Counterparty Credit Risk, Liquidity Risk, Funding Costs, Collateral Modeling, Overnight Rates

2.

Invariance, Existence and Uniqueness of Solutions of Nonlinear Valuation PDEs and FBSDEs Inclusive of Credit Risk, Collateral and Funding Costs

Number of pages: 13 Posted: 02 Jun 2015 Last Revised: 28 Nov 2015
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 191 (194,281)
Citation 11

Abstract:

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Counterparty Credit Risk, Funding Valuation Adjustment, Funding Costs, Collateralization, Non-linearity Valuation Adjustment, Nonlinear Valuation, Derivatives Valuation, semi-linear PDE, FBSDE, BSDE, Existence and Uniqueness of solutions, Viscosity Solutions

3.

Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization

Number of pages: 33 Posted: 07 Mar 2018
Imperial College London - Department of Mathematics, King's College London, Department of Mathematics, Imperial College Business School, Intesa Sanpaolo and The University of Sydney - School of Mathematics and Statistics
Downloads 108 (305,455)
Citation 7

Abstract:

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risk-neutral valuation, replication, funding costs, default, collateral

4.

On the Design of Sovereign Bond-Backed Securities

Number of pages: 29 Posted: 17 Dec 2019
Emilio Barucci, Damiano Brigo, Marco Francischello and Daniele Marazzina
Politecnico di Milano - Department of Mathematics, Imperial College London - Department of Mathematics, Imperial College Business School and Polytechnic University of Milan - Department of Mathematics
Downloads 85 (356,352)

Abstract:

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Sovereign bond-backed securities, tranches, diversiļ¬cation, Euro

5.

An Indifference Approach to the Cost of Capital Constraints: KVA and Beyond

Number of pages: 15 Posted: 21 Aug 2017
Damiano Brigo, Marco Francischello and Andrea Pallavicini
Imperial College London - Department of Mathematics, Imperial College Business School and Intesa Sanpaolo
Downloads 50 (468,393)
Citation 4

Abstract:

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KVA, Capital Constraints, Indifference Pricing, RAROC