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 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
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
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
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


Statistics updated 2025-04-04