Access Statistics for Claudio Albanese

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	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	0	0	1
A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices	0	0	0	75	0	0	0	231
A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs	0	0	1	96	0	2	4	378
CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES	0	0	0	113	0	1	2	433
Capital Valuation Adjustment and Funding Valuation Adjustment	0	0	0	9	1	2	2	49
Capital Valuation Adjustment and Funding Valuation Adjustment	0	0	0	4	0	1	1	23
Capital and Funding	0	0	0	17	0	0	0	38
Capital and collateral simulation for reverse stress testing	0	0	1	2	0	1	2	3
Dynamic Conditioning and Credit Correlation Baskets	0	0	1	22	0	3	6	155
Handling model risk with XVAs	0	0	2	6	0	2	9	19
Handling model risk with XVAs	0	0	0	13	0	2	3	12
Moment Methods for Exotic Volatility Derivatives	0	0	0	44	1	1	1	166
Moment Methods for Exotic Volatility Derivatives	0	0	0	9	0	1	1	55
OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING	0	0	0	26	0	0	0	133
Quantitative Reverse Stress Testing, Bottom Up	0	0	2	31	0	0	9	50
Restructuring Counterparty Credit Risk	0	0	0	31	0	2	2	122
Restructuring counterparty credit risk	0	1	1	77	0	6	7	164
SPECTRAL METHODS FOR VOLATILITY DERIVATIVES	0	0	0	42	0	1	1	161
Spectral methods for volatility derivatives	0	0	0	24	0	2	2	85
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes	0	0	0	0	0	1	2	3
XVA Analysis From the Balance Sheet	0	0	0	0	0	0	1	6
XVA Analysis From the Balance Sheet	0	0	0	11	0	0	0	23
XVA Metrics for CCP Optimisation	0	0	1	1	0	2	5	5
Total Working Papers	0	1	9	653	2	30	60	2,315

Journal Article	File Downloads				Abstract Views
Journal Article	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	1	2	8
A new Fourier transform algorithm for value-at-risk	0	0	1	16	0	2	3	61
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices	0	0	0	7	0	3	3	44
A two-state jump model	0	1	1	7	1	4	4	37
AFFINE LATTICE MODELS	0	0	0	2	0	1	2	9
Coherent global market simulations and securitization measures for counterparty credit risk	0	0	2	42	0	1	7	126
Dimension Reduction in the Computation of Value‐at‐Risk	0	0	0	0	0	1	1	1
Discrete credit barrier models	0	0	0	4	0	1	1	25
Implied migration rates from credit barrier models	0	0	0	32	0	1	2	131
KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS	0	0	0	0	0	1	1	6
Quantitative reverse stress testing, bottom up	0	1	3	4	1	2	5	8
RESTRUCTURING COUNTERPARTY CREDIT RISK	0	0	0	3	0	0	2	44
Small transaction cost asymptotics and dynamic hedging	0	0	0	15	0	1	2	72
Spectral methods for volatility derivatives	0	0	0	10	1	2	2	71
XVA analysis from the balance sheet	0	1	2	5	0	3	5	20
XVA metrics for CCP optimization	0	1	2	13	2	4	9	52
Total Journal Articles	0	4	11	161	5	28	51	715

Book	File Downloads				Abstract Views
Book	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
Advanced Derivatives Pricing and Risk Management	0	0	2	13	1	3	7	70
Total Books	0	0	2	13	1	3	7	70

Chapter	File Downloads				Abstract Views
Chapter	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	0	2	3	9
Total Chapters	0	0	0	0	0	2	3	9

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Statistics updated 2025-04-04