Claudio Albanese : Citation Profile


Are you Claudio Albanese?

6

H index

3

i10 index

108

Citations

RESEARCH PRODUCTION:

16

Articles

23

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   21 years (2002 - 2023). See details.
   Cites by year: 5
   Journals where Claudio Albanese has often published
   Relations with other researchers
   Recent citing documents: 11.    Total self citations: 18 (14.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal245
   Updated: 2024-01-16    RAS profile: 2023-11-08    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Claudio Albanese.

Is cited by:

Diebold, Francis (6)

Andersen, Torben (6)

Bollerslev, Tim (6)

Gnoatto, Alessandro (5)

Weron, Rafał (4)

Brigo, Damiano (4)

Platen, Eckhard (3)

Pallavicini, Andrea (3)

Ramponi, Alessandro (3)

Schlogl, Erik (2)

Savva, Christos (2)

Cites to:

Brigo, Damiano (11)

Pallavicini, Andrea (6)

Jarrow, Robert (4)

merton, robert (4)

Duffie, Darrell (4)

White, Alan (3)

Vidler, Alicia (3)

HUANG, MING (3)

Scholes, Myron (3)

Longstaff, Francis (3)

White, Alan (3)

Main data


Where Claudio Albanese has published?


Journals with more than one article published# docs
Quantitative Finance7
International Journal of Theoretical and Applied Finance (IJTAF)4
European Journal of Operational Research2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany7
Papers / arXiv.org6
Post-Print / HAL5
Working Papers / HAL4

Recent works citing Claudio Albanese (2024 and 2023)


YearTitle of citing document
2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.01207.

Full description at Econpapers || Download paper

2023Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.02479.

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2023Pathwise CVA regressions with oversimulated defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbasturki, Lokman A. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:274-307.

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2023A fully quantization-based scheme for FBSDEs. (2023). Grasselli, Martino ; Gnoatto, Alessandro ; Callegaro, Giorgia. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251.

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2023Operational research and artificial intelligence methods in banking. (2023). Zhang, Wenke ; Platanakis, Emmanouil ; Gounopoulos, Dimitrios ; Zopounidis, Constantin ; Doumpos, Michalis. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:1-16.

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2023XVA in a multi-currency setting with stochastic foreign exchange rates. (2023). Vazquez, Carlos ; Simonella, Roberta. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:207:y:2023:i:c:p:59-79.

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2023A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-04037328.

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2023Pathwise CVA Regressions With Oversimulated Defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbas-Turki, Lokman A. In: Post-Print. RePEc:hal:journl:hal-03910149.

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2023A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. (2023). Louzi, Azar ; Frikha, Noufel ; Crepey, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-04037328.

Full description at Econpapers || Download paper

2023Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Crepey, Stephane ; Benezet, Cyril. In: Working Papers. RePEc:hal:wpaper:hal-04057045.

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Works by Claudio Albanese:


YearTitleTypeCited
2007Moment Methods for Exotic Volatility Derivatives In: Papers.
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paper0
2007Moment Methods for Exotic Volatility Derivatives.(2007) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0
paper
2009Spectral methods for volatility derivatives In: Papers.
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paper7
2006SPECTRAL METHODS FOR VOLATILITY DERIVATIVES.(2006) In: MPRA Paper.
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This paper has nother version. Agregated cites: 7
paper
2009Spectral methods for volatility derivatives.(2009) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 7
article
2012Restructuring Counterparty Credit Risk In: Papers.
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paper6
2013RESTRUCTURING COUNTERPARTY CREDIT RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 6
article
2013Restructuring counterparty credit risk.(2013) In: Discussion Papers.
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This paper has nother version. Agregated cites: 6
paper
2016Capital Valuation Adjustment and Funding Valuation Adjustment In: Papers.
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paper4
2016Capital Valuation Adjustment and Funding Valuation Adjustment.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2020XVA Analysis From the Balance Sheet In: Papers.
[Full Text][Citation analysis]
paper19
2021XVA Analysis From the Balance Sheet.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
paper
2021XVA analysis from the balance sheet.(2021) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 19
article
2022Hedging Valuation Adjustment and Model Risk In: Papers.
[Full Text][Citation analysis]
paper2
2022Hedging Valuation Adjustment and Model Risk.(2022) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2020XVA metrics for CCP optimization In: Statistics & Risk Modeling.
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article3
2020XVA Metrics for CCP Optimisation.(2020) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3
paper
2008Small transaction cost asymptotics and dynamic hedging In: European Journal of Operational Research.
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article3
2012A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices In: European Journal of Operational Research.
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article9
2006Implied migration rates from credit barrier models In: Journal of Banking & Finance.
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article6
2005Advanced Derivatives Pricing and Risk Management In: Elsevier Monographs.
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book5
2002Dimension Reduction in the Computation of Value?at?Risk In: Journal of Risk Finance.
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article0
2020Wealth Transfers, Indifference Pricing, and XVA Compression Schemes In: Post-Print.
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paper0
2021Capital and collateral simulation for reverse stress testing In: Post-Print.
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paper0
2021A Darwinian Theory of Model Risk In: Post-Print.
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paper3
2018Capital and Funding In: Working Papers.
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paper0
2022Quantitative Reverse Stress Testing, Bottom Up In: Working Papers.
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paper0
2023Quantitative reverse stress testing, bottom up.(2023) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 0
article
2007A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs In: MPRA Paper.
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paper0
2007CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES In: MPRA Paper.
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paper1
2006A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices In: MPRA Paper.
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paper10
2007OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING In: MPRA Paper.
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paper3
2008Dynamic Conditioning and Credit Correlation Baskets In: MPRA Paper.
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paper1
2008A Stochastic Monetary Policy Interest Rate Model In: Springer Books.
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chapter0
2011Coherent global market simulations and securitization measures for counterparty credit risk In: Quantitative Finance.
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article6
2003A two-state jump model In: Quantitative Finance.
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article0
2004A new Fourier transform algorithm for value-at-risk In: Quantitative Finance.
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article14
2005Discrete credit barrier models In: Quantitative Finance.
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article5
2005AFFINE LATTICE MODELS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2009A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0
2011KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team