Claudio Albanese
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Albanese |
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- Moment Methods for Exotic Volatility Derivatives (RePEc:arx:papers:0710.2991)
by Claudio Albanese & Adel Osseiran - Spectral methods for volatility derivatives (RePEc:arx:papers:0905.2091)
by Claudio Albanese & Harry Lo & Aleksandar Mijatovi'c - Restructuring Counterparty Credit Risk (RePEc:arx:papers:1112.1607)
by Claudio Albanese & Damiano Brigo & Frank Oertel - Capital Valuation Adjustment and Funding Valuation Adjustment (RePEc:arx:papers:1603.03012)
by Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey - XVA Analysis From the Balance Sheet (RePEc:arx:papers:2009.00368)
by Claudio Albanese & Stephane Crepey & Rodney Hoskinson & Bouazza Saadeddine - Hedging Valuation Adjustment and Model Risk (RePEc:arx:papers:2205.11834)
by Claudio Albanese & Cyril B'en'ezet & St'ephane Cr'epey - XVA metrics for CCP optimization (RePEc:bpj:strimo:v:37:y:2020:i:1-2:p:25-53:n:1)
by Albanese Claudio & Armenti Yannick & Crépey Stéphane - Small transaction cost asymptotics and dynamic hedging (RePEc:eee:ejores:v:185:y:2008:i:3:p:1404-1414)
by Albanese, Claudio & Tompaidis, Stathis - A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices (RePEc:eee:ejores:v:222:y:2012:i:2:p:361-368)
by Albanese, Claudio & Lo, Harry & Tompaidis, Stathis - Implied migration rates from credit barrier models (RePEc:eee:jbfina:v:30:y:2006:i:2:p:607-626)
by Albanese, Claudio & Chen, Oliver X. - Advanced Derivatives Pricing and Risk Management (RePEc:eee:monogr:9780120476824)
by Albanese, Claudio & Campolieti, Giuseppe - Dimension Reduction in the Computation of Value‐at‐Risk (RePEc:eme:jrfpps:eb043499)
by Claudio Albanese & Ken Jackson & Petter Wiberg - Wealth Transfers, Indifference Pricing, and XVA Compression Schemes (RePEc:hal:journl:hal-03910047)
by Claudio Albanese & Marc Chataigner & Stéphane Crépey - Capital and collateral simulation for reverse stress testing (RePEc:hal:journl:hal-03910103)
by Claudio Albanese & Stéphane Crépey & Stefano Iabichino - XVA Metrics for CCP Optimisation (RePEc:hal:journl:hal-03910114)
by Claudio Albanese & Yannick Armenti & Stéphane Crépey - XVA Analysis From the Balance Sheet (RePEc:hal:journl:hal-03910125)
by Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine - A Darwinian Theory of Model Risk (RePEc:hal:journl:hal-03910130)
by Claudio Albanese & Stéphane Crépey & Stefano Iabichino - Capital Valuation Adjustment and Funding Valuation Adjustment (RePEc:hal:wpaper:hal-01285363)
by Claudio Albanese & Simone Caenazzo & Stéphane Crépey - Capital and Funding (RePEc:hal:wpaper:hal-01764401)
by Claudio Albanese & Simone Caenazzo & Stéphane Crépey - Hedging Valuation Adjustment and Model Risk (RePEc:hal:wpaper:hal-03675291)
by Claudio Albanese & Cyril Bénézet & Stéphane Crépey - Quantitative Reverse Stress Testing, Bottom Up (RePEc:hal:wpaper:hal-03910136)
by Claudio Albanese & Stéphane Crépey & Stefano Iabichino - A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs (RePEc:pra:mprapa:5227)
by Albanese, Claudio & Vidler, Alicia - Callable Swaps, Snowballs And Videogames (RePEc:pra:mprapa:5229)
by Albanese, Claudio - Spectral Methods For Volatility Derivatives (RePEc:pra:mprapa:5244)
by Albanese, Claudio & Mijatovic, Aleksandar - A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices (RePEc:pra:mprapa:5245)
by Albanese, Claudio & Lo, Harry & Stathis, Tompaidis - Operator Methods, Abelian Processes And Dynamic Conditioning (RePEc:pra:mprapa:5246)
by Albanese, Claudio - Moment Methods for Exotic Volatility Derivatives (RePEc:pra:mprapa:5330)
by Albanese, Claudio & Osseiran, Adel - Dynamic Conditioning and Credit Correlation Baskets (RePEc:pra:mprapa:8368)
by Albanese, Claudio & Vidler, Alicia - A Stochastic Monetary Policy Interest Rate Model (RePEc:spr:sprchp:978-3-540-77958-2_17)
by Claudio Albanese & Manlio Trovato - Coherent global market simulations and securitization measures for counterparty credit risk (RePEc:taf:quantf:v:11:y:2011:i:1:p:1-20)
by Claudio Albanese & Toufik Bellaj & Guillaume Gimonet & Giacomo Pietronero - XVA analysis from the balance sheet (RePEc:taf:quantf:v:21:y:2021:i:1:p:99-123)
by Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine - Quantitative reverse stress testing, bottom up (RePEc:taf:quantf:v:23:y:2023:i:5:p:863-875)
by Claudio Albanese & Stéphane Crépey & Stefano Iabichino - A two-state jump model (RePEc:taf:quantf:v:3:y:2003:i:2:p:145-154)
by Claudio Albanese & Sebastian Jaimungal & Dmitri Rubisov - A new Fourier transform algorithm for value-at-risk (RePEc:taf:quantf:v:4:y:2004:i:3:p:328-338)
by Claudio Albanese & Ken Jackson & Petter Wiberg - Discrete credit barrier models (RePEc:taf:quantf:v:5:y:2005:i:3:p:247-256)
by Claudio Albanese & Oliver Chen - Spectral methods for volatility derivatives (RePEc:taf:quantf:v:9:y:2009:i:6:p:663-692)
by Claudio Albanese & Harry Lo & Aleksandar Mijatovic - Affine Lattice Models (RePEc:wsi:ijtafx:v:08:y:2005:i:02:n:s0219024905002986)
by Claudio Albanese & Alexey Kuznetsov - A Stochastic Volatility Model For Risk-Reversals In Foreign Exchange (RePEc:wsi:ijtafx:v:12:y:2009:i:06:n:s0219024909005506)
by Claudio Albanese & Aleksandar Mijatović - Kernel Convergence Estimates For Diffusions With Continuous Coefficients (RePEc:wsi:ijtafx:v:14:y:2011:i:07:n:s0219024911006619)
by Claudio Albanese - Restructuring Counterparty Credit Risk (RePEc:wsi:ijtafx:v:16:y:2013:i:02:n:s0219024913500106)
by Claudio Albanese & Damiano Brigo & Frank Oertel - Restructuring counterparty credit risk (RePEc:zbw:bubdps:142013)
by Albanese, Claudio & Brigo, Damiano & Oertel, Frank