Andrea Pallavicini's Books

Counterparty Credit Risk, Collateral and Funding

With Pricing Cases For All Asset Classes

By: Damiano Brigo,Massimo Morini,Andrea Pallavicini

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Counterparty Credit Risk, Collateral and Funding

With Pricing Cases For All Asset Classes

By: Damiano Brigo,Massimo Morini,Andrea Pallavicini

The book's content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular 'concrete' financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a 'feel' for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

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Page Count

469

Publisher

John Wiley & Sons

Published Date

ISBN 10

047074846X

ISBN 13

9780470748466

Credit Models and the Crisis

A Journey into CDOs, Copulas, Correlations and Dynamic Models

By: Damiano Brigo,Andrea Pallavicini,Roberto Torresetti

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Credit Models and the Crisis

A Journey into CDOs, Copulas, Correlations and Dynamic Models

By: Damiano Brigo,Andrea Pallavicini,Roberto Torresetti

The recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk models, claiming that the crisis was due to sophisticated and obscure products being traded, but practitioners have for a long time been aware of the dangers and limitations of credit models. It would seem that a lack of understanding of these models is the root cause of their failures but until now little analysis had been published on the subject and, when published, it had gained very limited attention. Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future.

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Page Count

212

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470971436

ISBN 13

9780470971437

The Clash of Legitimacies

The State-Building Process in Late Medieval Lombardy

By: Andrea Gamberini

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The Clash of Legitimacies

The State-Building Process in Late Medieval Lombardy

By: Andrea Gamberini

The Clash of Legitimacies makes an innovative contribution to the history of the state-building process in late medieval Lombardy (during the 13th to 15th centuries), by illuminating myriad conflicts attending the legitimacy of power and authority at different levels of society. Through the analysis of the rhetorical forms and linguistic repertoires deployed by the many protagonists (not only the prince, but also the cities, communities, peasants, and political factions) to express their own ideals of shared political life, this volume reveals the depth of the conflicts in which opposing political actors were not only inspired by competing material interests - as in the traditional interpretation to be found in previous historiography - but also often were guided by differing concepts of authority. From this comes a largely new image of the late medieval and early Renaissance state, one without a monopoly of force - as has been shown in many studies since the 1970s - and one that did not even have the monopoly of legitimacy. The limitations of attempts by governors to present the political principles that inspired their acts as shared and universally recognized are revealed by a historical analysis firmly intent on investigating the existence, in particular territorial or social ambits, of other political cultures which based obedience to authority on different, and frequently original, ideals.

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Page Count

256

Publisher

Oxford University Press

Published Date

ISBN 10

0192557599

ISBN 13

9780192557599

Bologna, the indulgent

By: Katia Brentani,Andrea Brentani,Simona Guerra

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Bologna, the indulgent

By: Katia Brentani,Andrea Brentani,Simona Guerra

An unusual way to see and taste Bologna. The guide is timed to help you to plane your day in the city. The hours can be organised as you wish by food, because, in Bologna the Fat, food is a life-style and in Bologna the Learned, food is tradition and culture. Let's experience one day with breakfast, lunch and dinner surrounded by museums and porticoes. Another day you can try a brunch in an “osteria” or hot doughnut at four o'clock in the morning or taste wines in a wine shop while exploring secret gardens and towers. Whatever you decide, Bologna will satisfy your desires. This guide presents Bolognese typical cooking recipes to take home the city's delicious smells and soul along with your pictures and memories. This guide has also maps and pictures.

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Page Count

227

Publisher

Damster edizioni

Published Date

ISBN 10

8868102358

ISBN 13

9788868102357

Commercial Networks and European Cities, 1400–1800

By: Andrea Caracausi

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Commercial Networks and European Cities, 1400–1800

By: Andrea Caracausi

Merchant networks generated trade and the exchange of goods between the cities of early modern Europe. This collection of essays analyses these commercial networks, focusing on the roles of kinship, origin, religion and business in creating and maintaining urban economies.

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Page Count

323

Publisher

Routledge

Published Date

ISBN 10

1317318617

ISBN 13

9781317318613

The Legal Treatment of Muslim Minorities in Italy

Islam and the Neutral State

By: Andrea Pin

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The Legal Treatment of Muslim Minorities in Italy

Islam and the Neutral State

By: Andrea Pin

Islam is a growing presence practically everywhere in Europe. In Italy, however, Islam has met a unique model of state neutrality, religious freedom and church and state collaboration. This book gives a detailed description of the legal treatment of Muslims in Italy, contrasting it with other European states and jurisprudence, and with wider global tendencies that characterize the treatment of Islam. Through focusing on a series of case studies, the author argues that the relationship between church and state in Italy, and more broadly in Europe, should be reconsidered both to secure religious freedom and general welfare. Working on the concepts of religious freedom, state neutrality, and relationship between church and state, Andrea Pin develops a theoretical framework that combines the state level with the supranational level in the form of the European Convention of Human Rights, which ultimately shapes a unitary but flexible understanding of pluralism. This approach should better accommodate not just Muslims' needs, but religious needs in general in Italy and elsewhere.

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Page Count

199

Publisher

Taylor & Francis

Published Date

ISBN 10

1134807686

ISBN 13

9781134807680

The Borgias' Spy

An unputdownable, gripping thriller

By: Andrea Frediani

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The Borgias' Spy

An unputdownable, gripping thriller

By: Andrea Frediani

How the mighty will fall... 1497. Pope Alexander VI Borgia is perfecting his plans for the control of Italy when a heinous crime deprives him of one of the people dearest to him. All of Rome is mobilised to discover the perpetrator but a strange series of coincidences means famous court painter Pinturicchio finds himself on the front line. To shed light on a murder that has cut the papacy to the quick, Pinturicchio is assisted by the city's most established artists, from Michelangelo Buonarroti and Filippino Lippi to Piermatteo d'Amelia and Perugino. The Borgias have so many enemies that the list of suspects grows by the day, but a masked man may be the key witness to the crime – or even its perpetrator... Andrea Frediani brings one of the most famous cold cases in history to life in this thrilling tale of intrigue and deceit set in Renaissance Rome. What Amazon reviewers are saying about The Borgias' Spy: 'You walk into history with ease and once inside... you don't want to get out of it!' 5* Review 'Intriguing plot, sustained narrative rhythm.' 5* Review 'Intriguing, interesting' 5* Review

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Page Count

426

Publisher

Bloomsbury Publishing

Published Date

ISBN 10

1838932984

ISBN 13

9781838932985

C# for Financial Markets

By: Daniel J. Duffy,Andrea Germani

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C# for Financial Markets

By: Daniel J. Duffy,Andrea Germani

A practice-oriented guide to using C# to design and program pricing and trading models In this step-by-step guide to software development for financial analysts, traders, developers and quants, the authors show both novice and experienced practitioners how to develop robust and accurate pricing models and employ them in real environments. Traders will learn how to design and implement applications for curve and surface modeling, fixed income products, hedging strategies, plain and exotic option modeling, interest rate options, structured bonds, unfunded structured products, and more. A unique mix of modern software technology and quantitative finance, this book is both timely and practical. The approach is thorough and comprehensive and the authors use a combination of C# language features, design patterns, mathematics and finance to produce efficient and maintainable software. Designed for quant developers, traders and MSc/MFE students, each chapter has numerous exercises and the book is accompanied by a dedicated companion website, www.datasimfinancial.com/forum/viewforum.php?f=196&sid=f30022095850dee48c7db5ff62192b34, providing all source code, alongside audio, support and discussion forums for readers to comment on the code and obtain new versions of the software.

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Page Count

827

Publisher

John Wiley & Sons

Published Date

ISBN 10

1118502833

ISBN 13

9781118502839

Messages from My Grandparents... in Heaven

How You Can Keep Contact with Yours

By: Andrea R. Freeman

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Messages from My Grandparents... in Heaven

How You Can Keep Contact with Yours

By: Andrea R. Freeman

The passing of a loved one is never easy. There can be so many words left unsaid or plans still not arranged. It sometimes happens suddenly; sometimes its just a matter of days. Among the many types of relationships that are hardest to face, losing a grandparent can be agonizing. They are the grounding, the bedrock of your family. Your idols suddenly arent physically there anymore. However, the connection doesnt end here on earth. As a Certified Angel Card Reader and Angelic Life Coach with intuitive abilities, Andrea R. Freeman has encountered her grandparents never-ending messages all around her. She knows that they are well, safe, and guiding her always. You can experience this bond as well. The question is, Are you noticing the signs? Messages from My Grandparents in Heaven will take you on a spiritual healing journey toward rediscovering your connection with your grandparents that goes way beyond your memories with them on earth. Once you begin, you will distinguish methods in which your grandparents are connecting with you, with the help of your guardian angels; embrace your intuitive abilities to be receptive of your grandparents and guardian angels energies; find clarity, comfort, and restored balance in knowing youre not imagining the messages/signs that you are receiving; and learn new ways you can enhance the connection with your grandparents. Your grandparents are still with you each and every step you take in lifeever patient and always ready as you begin your days of healing. Let them begin today!

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Page Count

108

Publisher

Balboa Press

Published Date

ISBN 10

1504349881

ISBN 13

9781504349888

Palladio's Rome

A Translation of Andrea Palladio's Two Guidebooks to Rome

By: Architect Andrea Palladio,Andrea Palladio,Vaughan Hart,Peter Hicks

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Palladio's Rome

A Translation of Andrea Palladio's Two Guidebooks to Rome

By: Architect Andrea Palladio,Andrea Palladio,Vaughan Hart,Peter Hicks

Andrea Palladio (1508�-1580), one of the most famous architects of all time, published two enormously popular guides to the churches and antiquities of Rome in 1554. Striving to be both scholarly and popular, Palladio invited his Renaissance readers to discover the charm of Rome’s ancient and medieval wonders, and to follow pilgrimage routes leading from one church to the next. He also described ancient Roman rituals of birth, marriage, and death. Here translated into English and joined in a single volume for the first time, Palladio’s guidebooks allow modern visitors to enjoy Rome exactly as their predecessors did 450 years ago. Like the originals, this new edition is pocket-sized and therefore easily read on site. Enhanced with illustrations and commentary, the book also includes the first full English translation of Raphael’s famous letter to Pope Leo X on the monuments of ancient Rome. For architectural historians, tourists, and armchair travelers, this book offers fresh and surprising insights into the antiquarian and ecclesiastical preoccupations of one of the greatest of the Renaissance architectural masters.

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Page Count

364

Publisher

Yale University Press

Published Date

ISBN 10

0300109091

ISBN 13

9780300109092

Counterparty Credit Risk, Collateral and Funding

With Pricing Cases For All Asset Classes

By: Damiano Brigo,Massimo Morini,Andrea Pallavicini

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Counterparty Credit Risk, Collateral and Funding

With Pricing Cases For All Asset Classes

By: Damiano Brigo,Massimo Morini,Andrea Pallavicini

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Solve jigsaw puzzle

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Page Count

469

Publisher

John Wiley & Sons

Published Date

ISBN 10

047074846X

ISBN 13

9780470748466

Credit Models and the Crisis

A Journey into CDOs, Copulas, Correlations and Dynamic Models

By: Damiano Brigo,Andrea Pallavicini,Roberto Torresetti

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Credit Models and the Crisis

A Journey into CDOs, Copulas, Correlations and Dynamic Models

By: Damiano Brigo,Andrea Pallavicini,Roberto Torresetti

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Page Count

212

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470971436

ISBN 13

9780470971437

Credit Models

Theory and Practice

By: Damiano Brigo,Aurelien Alfonsi,Massimo Morini,Andrea Pallavicini,Roberto Torresetti

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Credit Models

Theory and Practice

By: Damiano Brigo,Aurelien Alfonsi,Massimo Morini,Andrea Pallavicini,Roberto Torresetti

This text combines the theory and practice of pricing and implementing credit derivatives for credit risk modelling. It explains which models can be used in practice for many common scenarios and shows how to solve problems in the markets with adcanved mathematics and stochastic calculus.

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Page Count

512

Published Date

ISBN 10

0470516224

ISBN 13

9780470516225

Book's by Andrea Pallavicini

Counterparty Credit Risk, Collateral and Funding

Counterparty Credit Risk, Collateral and Funding

Credit Models and the Crisis

Credit Models and the Crisis

The Clash of Legitimacies

The Clash of Legitimacies

Bologna, the indulgent

Bologna, the indulgent

Commercial Networks and European Cities, 1400–1800

Commercial Networks and European Cities, 1400–1800

The Legal Treatment of Muslim Minorities in Italy

The Legal Treatment of Muslim Minorities in Italy

The Borgias' Spy

The Borgias' Spy

C# for Financial Markets

C# for Financial Markets

Messages from My Grandparents... in Heaven

Messages from My Grandparents... in Heaven

Palladio's Rome

Palladio's Rome

Counterparty Credit Risk, Collateral and Funding

Counterparty Credit Risk, Collateral and Funding

Credit Models and the Crisis

Credit Models and the Crisis

Credit Models

Credit Models

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