6
H index
4
i10 index
115
Citations
Claudio Albanese : Citation Profile
| RESEARCH PRODUCTION: 16 Articles 23 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
22 years (2002 - 2024). 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:
| Cites to:
|
Main data
Where Claudio Albanese has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 7 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 4 |
| European Journal of Operational Research | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| MPRA Paper / University Library of Munich, Germany | 7 |
| Papers / arXiv.org | 6 |
| Post-Print / HAL | 5 |
| Working Papers / HAL | 4 |
Recent works citing Claudio Albanese (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001. Full description at Econpapers || Download paper |
| 2024 | Learning Value-at-Risk and Expected Shortfall. (2022). Saadeddine, B ; Nguyen, Hoang-Dung ; Gobet, E ; Cr, S ; Barrera, D. In: Papers. RePEc:arx:papers:2209.06476. Full description at Econpapers || Download paper |
| 2024 | A 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 |
| 2023 | Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Cr, St'Ephane. In: Papers. RePEc:arx:papers:2304.02479. Full description at Econpapers || Download paper |
| 2024 | Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Study. (2024). Walsh, Toby ; Vidler, Alicia. In: Papers. RePEc:arx:papers:2405.02849. Full description at Econpapers || Download paper |
| 2023 | Pathwise 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. Full description at Econpapers || Download paper |
| 2023 | A 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. Full description at Econpapers || Download paper |
| 2024 | Price forecasting in the Ontario electricity market via TriConvGRU hybrid model: Univariate vs. multivariate frameworks. (2024). Charlin, Laurent ; Pineau, Pierre-Olivier ; Ehsani, Behdad. In: Applied Energy. RePEc:eee:appene:v:359:y:2024:i:c:s0306261924000321. Full description at Econpapers || Download paper |
| 2023 | Operational 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. Full description at Econpapers || Download paper |
| 2023 | XVA 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. Full description at Econpapers || Download paper |
| 2024 | A 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. Full description at Econpapers || Download paper |
| 2023 | Pathwise CVA Regressions With Oversimulated Defaults. (2023). Saadeddine, Bouazza ; Crepey, Stephane ; Abbas-Turki, Lokman A. In: Post-Print. RePEc:hal:journl:hal-03910149. Full description at Econpapers || Download paper |
| 2023 | A 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 |
| 2023 | Hedging Valuation Adjustment for Callable Claims. (2023). Essaket, Dounia ; Crepey, Stephane ; Benezet, Cyril. In: Working Papers. RePEc:hal:wpaper:hal-04057045. Full description at Econpapers || Download paper |
Works by Claudio Albanese:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Moment Methods for Exotic Volatility Derivatives In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Moment Methods for Exotic Volatility Derivatives.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | Spectral methods for volatility derivatives In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2006 | SPECTRAL METHODS FOR VOLATILITY DERIVATIVES.(2006) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2009 | Spectral methods for volatility derivatives.(2009) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2012 | Restructuring Counterparty Credit Risk In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2013 | RESTRUCTURING COUNTERPARTY CREDIT RISK.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2013 | Restructuring counterparty credit risk.(2013) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2016 | Capital Valuation Adjustment and Funding Valuation Adjustment In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Capital Valuation Adjustment and Funding Valuation Adjustment.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2020 | XVA Analysis From the Balance Sheet In: Papers. [Full Text][Citation analysis] | paper | 23 |
| 2021 | XVA Analysis From the Balance Sheet.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2021 | XVA analysis from the balance sheet.(2021) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
| 2024 | Handling model risk with XVAs In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | Hedging Valuation Adjustment and Model Risk.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | XVA metrics for CCP optimization In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 3 |
| 2020 | XVA Metrics for CCP Optimisation.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2008 | Small transaction cost asymptotics and dynamic hedging In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
| 2012 | A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 10 |
| 2006 | Implied migration rates from credit barrier models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
| 2005 | Advanced Derivatives Pricing and Risk Management In: Elsevier Monographs. [Full Text][Citation analysis] | book | 5 |
| 2002 | Dimension Reduction in the Computation of Value?at?Risk In: Journal of Risk Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Wealth Transfers, Indifference Pricing, and XVA Compression Schemes In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Capital and collateral simulation for reverse stress testing In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2021 | A Darwinian Theory of Model Risk In: Post-Print. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Capital and Funding In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Quantitative Reverse Stress Testing, Bottom Up In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Quantitative reverse stress testing, bottom up.(2023) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2007 | A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | CALLABLE SWAPS, SNOWBALLS AND VIDEOGAMES In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
| 2006 | A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices In: MPRA Paper. [Full Text][Citation analysis] | paper | 10 |
| 2007 | OPERATOR METHODS, ABELIAN PROCESSES AND DYNAMIC CONDITIONING In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Dynamic Conditioning and Credit Correlation Baskets In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
| 2008 | A Stochastic Monetary Policy Interest Rate Model In: Springer Books. [Citation analysis] | chapter | 0 |
| 2011 | Coherent global market simulations and securitization measures for counterparty credit risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2003 | A two-state jump model In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | A new Fourier transform algorithm for value-at-risk In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
| 2005 | Discrete credit barrier models In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2005 | AFFINE LATTICE MODELS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2009 | A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2011 | KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team