Details about Claudio Albanese

Access statistics for papers by Claudio Albanese.

Last updated 2011-10-22. Update your information in the RePEc Author Service.

Short-id: pal245

Working Papers

2009

1. Spectral methods for volatility derivatives
   Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (3)
   See also Journal Article in Quantitative Finance (2009)

2008

2. Dynamic Conditioning and Credit Correlation Baskets
   MPRA Paper, University Library of Munich, Germany

2007

3. A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs
   MPRA Paper, University Library of Munich, Germany View citations (1)
4. CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES
   MPRA Paper, University Library of Munich, Germany View citations (1)
5. Moment Methods for Exotic Volatility Derivatives
   Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (2)
6. OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING
   MPRA Paper, University Library of Munich, Germany View citations (6)

2006

7. A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
   MPRA Paper, University Library of Munich, Germany View citations (1)

Journal Articles

2009

1. A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
   International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (06), 877-899 View citations (1)
2. Spectral methods for volatility derivatives
   Quantitative Finance, 2009, 9, (6), 663-692
   See also Working Paper (2009)

2008

3. Small transaction cost asymptotics and dynamic hedging
   European Journal of Operational Research, 2008, 185, (3), 1404-1414 View citations (1)

2006

4. Implied migration rates from credit barrier models
   Journal of Banking & Finance, 2006, 30, (2), 607-626 View citations (4)

2005

5. AFFINE LATTICE MODELS
   International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (02), 223-238