Access Statistics for Claudio Albanese

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Darwinian Theory of Model Risk 0 0 0 0 0 4 5 6
A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices 0 0 0 75 2 9 11 242
A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs 0 0 0 96 0 3 4 382
CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES 0 0 0 113 1 5 8 441
Capital Valuation Adjustment and Funding Valuation Adjustment 0 0 0 4 0 5 8 31
Capital Valuation Adjustment and Funding Valuation Adjustment 0 0 1 10 0 0 8 56
Capital and Funding 0 0 0 17 0 3 8 46
Capital and collateral simulation for reverse stress testing 0 0 0 2 1 4 4 7
Dynamic Conditioning and Credit Correlation Baskets 0 0 0 22 0 9 12 167
Handling model risk with XVAs 0 0 0 13 0 8 17 29
Moment Methods for Exotic Volatility Derivatives 0 0 0 9 0 2 4 59
Moment Methods for Exotic Volatility Derivatives 0 0 0 44 0 2 4 169
OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING 0 0 0 26 3 9 11 144
Quantitative Reverse Stress Testing, Bottom Up 1 1 1 32 3 9 18 68
Restructuring Counterparty Credit Risk 0 0 0 31 2 7 10 132
Restructuring counterparty credit risk 0 0 0 77 0 7 9 173
SPECTRAL METHODS FOR VOLATILITY DERIVATIVES 0 0 1 43 2 7 13 174
Spectral methods for volatility derivatives 0 0 0 24 1 4 7 92
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes 0 0 0 0 1 4 5 8
XVA Analysis From the Balance Sheet 0 0 0 0 0 3 6 12
XVA Analysis From the Balance Sheet 0 0 1 12 0 2 8 31
XVA Metrics for CCP Optimisation 0 0 0 1 1 3 4 9
Total Working Papers 1 1 4 651 17 109 184 2,478
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE 0 0 0 1 0 0 2 10
A new Fourier transform algorithm for value-at-risk 0 0 1 17 0 5 8 69
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices 0 0 1 8 1 5 8 52
A two-state jump model 0 0 0 7 0 4 6 42
AFFINE LATTICE MODELS 0 0 1 3 1 5 7 16
Coherent global market simulations and securitization measures for counterparty credit risk 0 0 2 44 1 4 13 139
Dimension Reduction in the Computation of Value‐at‐Risk 0 0 0 0 0 3 4 5
Discrete credit barrier models 1 1 1 5 1 3 6 31
Implied migration rates from credit barrier models 4 4 5 37 4 9 13 144
KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS 0 0 0 0 1 6 6 12
Quantitative reverse stress testing, bottom up 1 1 1 5 3 9 14 21
RESTRUCTURING COUNTERPARTY CREDIT RISK 0 0 0 3 0 4 11 55
Small transaction cost asymptotics and dynamic hedging 0 0 0 15 1 7 10 82
Spectral methods for volatility derivatives 0 0 0 10 1 5 11 81
XVA analysis from the balance sheet 0 0 0 5 1 8 11 31
XVA metrics for CCP optimization 0 0 0 13 0 5 14 64
Total Journal Articles 6 6 12 173 15 82 144 854

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Advanced Derivatives Pricing and Risk Management 1 1 2 15 3 8 14 83
Total Books 1 1 2 15 3 8 14 83

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Stochastic Monetary Policy Interest Rate Model 0 0 0 0 3 9 11 20
Total Chapters 0 0 0 0 3 9 11 20

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Statistics updated 2026-03-04