- RE S E A R C H PA P E R QUANTITATIVE FINANCE VO L U M E 4 (2004) 328338 quant.iop.org INSTITUTE O F PHYSICS PUBLISHING
- SPECTRAL METHODS FOR VOLATILITY DERIVATIVES CLAUDIO ALBANESE, HARRY LO, AND ALEKSANDAR MIJATOVIC
- DYNAMIC CREDIT CORRELATION MODELING C. ALBANESE, O. CHEN, A. DALESSANDRO, AND A. VIDLER
- KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS
- DISCRETE CREDIT BARRIER MODELS CLAUDIO ALBANESE AND OLIVER X. CHEN
- Multi-core Technologies Model Design and System Architecture
- QUANTITATIVE FINANCE VO L U M E 3 (2003) 145154 RE S E A R C H PA P E R INSTITUTE O F PHYSICS PUBLISHING quant.iop.org
- A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
- Combinatorics is an honest subject. No adles, no sigma-algebras. You count balls in a box, and you either have the right number or
- DISCRETIZATION SCHEMES FOR SUBORDINATED PROCESSES CLAUDIO ALBANESE AND ALEXEY KUZNETSOV
- Version 8, 23-Apr-04 Mirror inversion of quantum states in linear registers
- he success of pricing models is often measured by the extent to which closed-form solutions of the Black-Scholes type are available for the
- STOCHASTIC MECHANICS AS A GAUGE THEORY CLAUDIO ALBANESE
- Integrability by Quadratures of Pricing Equations Claudio Albanese, Giuseppe Campolieti
- Global Calibration Claudio Albanese 1
- PRICING EQUITY DEFAULT SWAPS CLAUDIO ALBANESE AND OLIVER CHEN
- Rotating Frames: A New Optimisation Algorithm for Global Calibration
- CLASSIFICATION OF SOLVABLE MIRROR-PERIODIC QUANTUM SPIN CLAUDIO ALBANESE AND STEPHAN LAWI
- 65 RISK FEBRUARY 2001 next, yields exact prices up to rounding errors to European-style op-
- Small Transaction Cost Asymptotics and Dynamic Claudio Albanese Stathis Tompaidis
- MOMENT METHODS FOR EXOTIC VOLATILITY DERIVATIVES
- King's College London University Of London
- COHERENT GLOBAL MARKET SIMULATIONS FOR COUNTERPARTY CREDIT RISK
- FinalApprovalCopy SUMMER 2002 THE JOURNAL OF RISK FINANCE 1
- COHERENT GLOBAL MARKET SIMULATIONS FOR COUNTERPARTY CREDIT RISK
- OPTIMAL FUNDING STRATEGIES FOR COUNTERPARTY CREDIT RISK LIABILITIES
- Global valuation and dynamic risk management Claudio Albanese, Guillaume Gimonet and Steve White
- An Introduction to Global Valuation Claudio Albanese and Steve White present the possibilities that High Throughput Computing (GPU
- Monte Carlo Pricing using Operator Methods and Measure Changes
- STOCHASTIC INTEGRALS AND ABELIAN PROCESSES CLAUDIO ALBANESE
- OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING
- Monetary Policy Risk and CMS Spreads Claudio Albanese
- A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOS
- A stochastic monetary policy interest rate model Claudio Albanese
- A stochastic volatility model for callable CMS swaps and translation invariant path dependent
- A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
- A STOCHASTIC VOLATILITY MODEL FOR BERMUDA SWAPTIONS AND CALLABLE CMS SWAPS
- manuscript No. (will be inserted by the editor)
- Affine Lattice Models 1 Claudio Albanese
- CREDIT BARRIER MODELS CLAUDIO ALBANESE, GIUSEPPE CAMPOLIETI, OLIVER CHEN, AND ANDREI ZAVIDONOV
- BLACK-SCHOLES GOES HYPERGEOMETRIC CLAUDIO ALBANESE, GIUSEPPE CAMPOLIETI, PETER CARR, AND ALEXANDER LIPTON
- Financial Derivatives Conclusions
- Coherent Global Market Simulations Claudio Albanese
- King's College London University Of London
- STOCHASTIC MECHANICS AS A GAUGE THEORY CLAUDIO ALBANESE
- Time Quantization and q-deformations Claudio Albanese and Stephan Lawi
- CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES CLAUDIO ALBANESE
- CONVERGENCE RATES FOR DIFFUSIONS ON CONTINUOUS-TIME CLAUDIO ALBANESE AND ALEKSANDAR MIJATOVIC
- Implied Migration Rates from Credit Barrier Models Claudio Albanese
- SPECTRAL RISK MEASURES FOR CREDIT PORTFOLIOS CLAUDIO ALBANESE AND STEPHAN LAWI
- King's College London University Of London
- RESTRUCTURING COUNTERPARTY CREDIT RISK CLAUDIO ALBANESE, DAMIANO BRIGO, AND FRANK OERTEL
- King's College London University Of London
- King's College London University Of London
- King's College London University Of London
