E-LIB Suche - Ergebnisse für: Albanese, Claudio

1

Quantitative reverse stress testing, bottom up:

Albanese, Claudio ; Crépey, Stéphane ; Iabichino, Stefano
Quantitative Finance. 23 (2023) 5 - p. 863-875 , 2023

Link: https://doi.org/10.1080/..

2

Reverse Stress Testing in Banking

A Comprehensive Guide The Moorad Choudhry Global Banking Series

Ahmad, Nasir ; Albanese, Claudio ; Almehed, Daniel... , [2021]

Link: https://doi.org/10.1515/..

3

XVA metrics for CCP optimization:

Albanese, Claudio ; Armenti, Yannick ; Crépey, Stéphane
Statistics & Risk Modeling. 37 (2020) 1-2 - p. 25-53 , 2020

Link: https://doi.org/10.1515/..

4

Wealth Transfers, Indifference Pricing, and XVA Compression..:

, In: Mathematical Lectures from Peking University; From Probability to Finance,

Albanese, Claudio ; Chataigner, Marc ; Crépey, Stéphane - p. 219-248 , 2020

Link: https://doi.org/10.1007/..

5

XVA analysis from the balance sheet:

Albanese, Claudio ; Crépey, Stéphane ; Hoskinson, Rodney.
Quantitative Finance. 21 (2020) 1 - p. 99-123 , 2020

Link: https://doi.org/10.1080/..

6

Credit, funding, margin, and capital valuation adjustments ..:

Albanese, Claudio ; Caenazzo, Simone ; Crépey, Stéphane
Probability, Uncertainty and Quantitative Risk. 2 (2017) 1 - p. , 2017

Link: https://doi.org/10.1186/..

7

BLAS extensions for algebraic pricing methods:

, In: Proceedings of the 2nd Workshop on Parallel Programming for Analytics Applications,

Regondi, Paolo ; Zubair, Mohammad ; Albanese, Claudio - p. 25-30 , 2015

Link: https://dl.acm.org/doi/1..

8

A numerical algorithm for pricing electricity derivatives f..:

Albanese, Claudio ; Lo, Harry ; Tompaidis, Stathis
European Journal of Operational Research. 222 (2012) 2 - p. 361-368 , 2012

Link: https://doi.org/10.1016/..

9

Coherent global market simulations and securitization measu..:

Albanese, Claudio ; Bellaj, Toufik ; Gimonet, Guillaume.
Quantitative Finance. 11 (2011) 1 - p. 1-20 , 2011

Link: https://doi.org/10.1080/..

10

In The Margins:

Albanese, Claudio ; D'Ippoliti, Fernanda ; Pietronero, Giacomo
Wilmott. 2011 (2011) 55 - p. 50-65 , 2011

Link: https://doi.org/10.1002/..

11

Spectral methods for volatility derivatives:

Mijatovic, Aleksandar ; Albanese, Claudio ; Lo, Harry
Quantitative Finance. 9 (2009) 6 - p. 663-692 , 2009

Link: https://doi.org/10.1080/..

12

Spectral methods for volatility derivatives:

Albanese, Claudio ; Lo, Harry ; Mijatović, Aleksandar
Quantitative Finance. 9 (2009) 6 - p. 663-692 , 2009

Link: https://doi.org/10.1080/..

13

Small transaction cost asymptotics and dynamic hedging:

Albanese, Claudio ; Tompaidis, Stathis
European Journal of Operational Research. 185 (2008) 3 - p. 1404-1414 , 2008

Link: https://doi.org/10.1016/..

14

Project:

, In: Advanced Derivatives Pricing and Risk Management,

Albanese, Claudio ; Campolieti, Giuseppe - p. 327-329 , 2006

Link: https://doi.org/10.1016/..

15

Project:

, In: Advanced Derivatives Pricing and Risk Management,

Albanese, Claudio ; Campolieti, Giuseppe - p. 315-320 , 2006

Link: https://doi.org/10.1016/..