| Counterparty credit risk, collateral and funding: with pricing cases for all asset classes D Brigo, M Morini, A Pallavicini John Wiley & Sons, 2013 | 345 | 2013 |
| Arbitrage‐free bilateral counterparty risk valuation under collateralization and application to credit default swaps D Brigo, A Capponi, A Pallavicini Mathematical Finance: An International Journal of Mathematics, Statistics …, 2014 | 180 | 2014 |
| Four-fermion production in electron-positron collisions MW Gruenewald, G Passarino, E Accomando, A Ballestrero, P Bambade, ... arXiv preprint hep-ph/0005309, 2000 | 155 | 2000 |
| Calibration of CDO tranches with the dynamical generalized-Poisson loss model D Brigo, A Pallavicini, R Torresetti Available at SSRN 900549, 2007 | 137 | 2007 |
| Credit models and the crisis: A journey into CDOs, copulas, correlations and dynamic models D Brigo, A Pallavicini, R Torresetti John Wiley & Sons, 2010 | 134 | 2010 |
| Funding valuation adjustment: a consistent framework including cva, dva, collateral, netting rules and re-hypothecation A Pallavicini, D Perini, D Brigo arXiv preprint arXiv:1112.1521, 2011 | 110 | 2011 |
| Parsimonious HJM modelling for multiple yield curve dynamics N Moreni, A Pallavicini Quantitative Finance 14 (2), 199-210, 2014 | 108 | 2014 |
| Counterparty risk pricing under correlation between default and interest rates D Brigo, A Pallavicini Numerical methods for finance, 63-82, 2007 | 103 | 2007 |
| Rough volatility: evidence from option prices G Livieri, S Mouti, A Pallavicini, M Rosenbaum IISE transactions 50 (9), 767-776, 2018 | 102 | 2018 |
| Collateral margining in arbitrage-free counterparty valuation adjustment including re-hypotecation and netting D Brigo, A Capponi, A Pallavicini, V Papatheodorou arXiv preprint arXiv:1101.3926, 2011 | 89 | 2011 |
| Counterparty risk and contingent CDS valuation under correlation between interest-rates and default D Brigo, A Pallavicini Available at SSRN 926067, 2006 | 85 | 2006 |
| Funding, collateral and hedging: uncovering the mechanics and the subtleties of funding valuation adjustments A Pallavicini, D Perini, D Brigo arXiv preprint arXiv:1210.3811, 2012 | 79 | 2012 |
| Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks D Brigo, A Pallavicini Journal of Financial Engineering 1 (01), 1450001, 2014 | 72 | 2014 |
| Interest-rate modeling with multiple yield curves A Pallavicini, M Tarenghi arXiv preprint arXiv:1006.4767, 2010 | 66 | 2010 |
| Light pair correction to Bhabha scattering at small angle G Montagna, M Moretti, O Nicrosini, A Pallavicini, F Piccinini Nuclear physics B 547 (1-2), 39-59, 1999 | 64 | 1999 |
| Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations D Brigo, A Pallavicini, V Papatheodorou International Journal of Theoretical and Applied Finance 14 (06), 773-802, 2011 | 60 | 2011 |
| Light-pair corrections to small-angle Bhabha scattering in a realistic set-up at LEP G Montagna, M Moretti, O Nicrosini, A Pallavicini, F Piccinini Physics Letters B 459 (4), 649-652, 1999 | 50 | 1999 |
| Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations D Brigo, A Pallavicini, V Papatheodorou arXiv preprint arXiv:0911.3331, 2009 | 42 | 2009 |
| Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names D Brigo, A Pallavicini, R Torresetti International Journal of Theoretical and Applied Finance 10 (04), 607-631, 2007 | 39 | 2007 |
| Implied expected tranched loss surface from CDO data R Torresetti, D Brigo, A Pallavicini Available at SSRN 933291, 2007 | 39 | 2007 |
