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 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 0 96 0 1 3 378
CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES 0 0 0 113 0 0 2 433
Capital Valuation Adjustment and Funding Valuation Adjustment 0 0 0 4 0 0 1 23
Capital Valuation Adjustment and Funding Valuation Adjustment 0 0 0 9 0 2 2 49
Capital and Funding 0 0 0 17 0 0 0 38
Capital and collateral simulation for reverse stress testing 0 0 1 2 0 0 2 3
Dynamic Conditioning and Credit Correlation Baskets 0 0 0 22 0 0 5 155
Handling model risk with XVAs 0 0 0 13 0 1 3 12
Moment Methods for Exotic Volatility Derivatives 0 0 0 9 0 1 1 55
Moment Methods for Exotic Volatility Derivatives 0 0 0 44 0 1 1 166
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 1 1 9 51
Restructuring Counterparty Credit Risk 0 0 0 31 0 1 2 122
Restructuring counterparty credit risk 0 1 1 77 0 5 7 164
SPECTRAL METHODS FOR VOLATILITY DERIVATIVES 0 0 0 42 0 0 1 161
Spectral methods for volatility derivatives 0 0 0 24 0 0 2 85
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes 0 0 0 0 0 0 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 1 4 5
Total Working Papers 0 1 5 647 1 14 48 2,297
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 8
A new Fourier transform algorithm for value-at-risk 0 0 1 16 0 1 3 61
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices 0 0 0 7 0 2 3 44
A two-state jump model 0 0 1 7 0 2 4 37
AFFINE LATTICE MODELS 0 0 0 2 0 0 2 9
Coherent global market simulations and securitization measures for counterparty credit risk 0 0 1 42 0 0 6 126
Dimension Reduction in the Computation of Value‐at‐Risk 0 0 0 0 0 0 1 1
Discrete credit barrier models 0 0 0 4 0 0 1 25
Implied migration rates from credit barrier models 0 0 0 32 0 0 2 131
KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS 0 0 0 0 0 0 1 6
Quantitative reverse stress testing, bottom up 0 0 3 4 2 3 7 10
RESTRUCTURING COUNTERPARTY CREDIT RISK 0 0 0 3 0 0 1 44
Small transaction cost asymptotics and dynamic hedging 0 0 0 15 0 0 2 72
Spectral methods for volatility derivatives 0 0 0 10 0 2 2 71
XVA analysis from the balance sheet 0 1 2 5 0 2 5 20
XVA metrics for CCP optimization 0 1 2 13 1 4 9 53
Total Journal Articles 0 2 10 161 3 16 51 718


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 0 0 1 13 0 1 6 70
Total Books 0 0 1 13 0 1 6 70


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 0 0 3 9
Total Chapters 0 0 0 0 0 0 3 9


Statistics updated 2025-05-12