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

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Statistics updated 2025-05-12