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Details about Claudio Albanese

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Homepage:http://www.level3finance.com

Access statistics for papers by Claudio Albanese.

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

Short-id: pal245


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Working Papers

2009

  1. Spectral methods for volatility derivatives
    Papers, arXiv.org Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (3)

    See also Journal Article in Quantitative Finance (2009)

2008

  1. Dynamic Conditioning and Credit Correlation Baskets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2007

  1. A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  3. Moment Methods for Exotic Volatility Derivatives
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in Papers, arXiv.org (2007) Downloads
  4. OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)

2006

  1. A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)

Journal Articles

2009

  1. Spectral methods for volatility derivatives
    Quantitative Finance, 2009, 9, (6), 663-692 Downloads View citations (3)
    See also Working Paper (2009)

2008

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

2006

  1. Implied migration rates from credit barrier models
    Journal of Banking & Finance, 2006, 30, (2), 607-626 Downloads View citations (7)
 
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