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	1	1
A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices	0	0	1	75	0	0	3	231
A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs	0	0	1	96	0	0	1	375
CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES	0	0	0	113	0	0	1	431
Capital Valuation Adjustment and Funding Valuation Adjustment	0	0	0	4	0	0	0	22
Capital Valuation Adjustment and Funding Valuation Adjustment	0	0	1	9	0	0	2	47
Capital and Funding	0	0	0	17	0	0	0	38
Capital and collateral simulation for reverse stress testing	0	1	2	2	0	1	2	2
Dynamic Conditioning and Credit Correlation Baskets	0	0	4	22	0	0	4	150
Handling model risk with XVAs	0	0	2	13	0	0	3	9
Handling model risk with XVAs	0	0	1	5	0	0	5	11
Moment Methods for Exotic Volatility Derivatives	0	0	0	9	0	0	0	54
Moment Methods for Exotic Volatility Derivatives	0	0	0	44	0	0	0	165
OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING	0	0	0	26	0	0	0	133
Quantitative Reverse Stress Testing, Bottom Up	0	0	4	30	1	1	14	44
Restructuring Counterparty Credit Risk	0	0	0	31	0	0	0	120
Restructuring counterparty credit risk	0	0	1	76	0	0	3	157
SPECTRAL METHODS FOR VOLATILITY DERIVATIVES	0	0	0	42	0	0	0	160
Spectral methods for volatility derivatives	0	0	0	24	0	0	0	83
Wealth Transfers, Indifference Pricing, and XVA Compression Schemes	0	0	0	0	0	0	0	1
XVA Analysis From the Balance Sheet	0	0	0	0	0	0	2	5
XVA Analysis From the Balance Sheet	0	0	0	11	0	0	0	23
XVA Metrics for CCP Optimisation	0	0	1	1	1	1	3	3
Total Working Papers	0	1	18	650	2	3	44	2,265

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	0	1	6
A new Fourier transform algorithm for value-at-risk	0	0	0	15	0	0	1	58
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices	0	0	1	7	0	0	1	41
A two-state jump model	0	0	0	6	0	0	0	33
AFFINE LATTICE MODELS	0	0	0	2	0	0	0	7
Coherent global market simulations and securitization measures for counterparty credit risk	1	1	4	42	1	1	7	122
Dimension Reduction in the Computation of Value‐at‐Risk	0	0	0	0	0	0	0	0
Discrete credit barrier models	0	0	0	4	0	0	0	24
Implied migration rates from credit barrier models	0	0	2	32	0	0	2	129
KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS	0	0	0	0	0	0	1	5
Quantitative reverse stress testing, bottom up	0	0	3	3	0	0	4	5
RESTRUCTURING COUNTERPARTY CREDIT RISK	0	0	0	3	0	1	4	44
Small transaction cost asymptotics and dynamic hedging	0	0	0	15	0	0	0	70
Spectral methods for volatility derivatives	0	0	0	10	0	0	1	69
XVA analysis from the balance sheet	1	1	2	4	1	1	5	16
XVA metrics for CCP optimization	0	0	1	11	1	2	8	47
Total Journal Articles	2	2	13	155	3	5	35	676

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	1	2	13	1	2	3	66
Total Books	0	1	2	13	1	2	3	66

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	0	0	6
Total Chapters	0	0	0	0	0	0	0	6

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Statistics updated 2024-09-04