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Claudio Albanese

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This is information that was supplied by Claudio Albanese in registering through RePEc. If you are Claudio Albanese , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Claudio
Middle Name:
Last Name: Albanese
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RePEc Short-ID: pal245

Email:
Homepage: http://www.level3finance.com
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Affiliation

Works

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Working papers

  1. Albanese, Claudio & Vidler, Alicia, 2008. "Dynamic Conditioning and Credit Correlation Baskets," MPRA Paper 8368, University Library of Munich, Germany, revised 21 Apr 2008.
  2. Albanese, Claudio & Osseiran, Adel, 2007. "Moment Methods for Exotic Volatility Derivatives," MPRA Paper 5330, University Library of Munich, Germany.
  3. Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.
  4. Albanese, Claudio & Vidler, Alicia, 2007. "A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs," MPRA Paper 5227, University Library of Munich, Germany, revised 09 Sep 2007.
  5. Albanese, Claudio & Mijatovic, Aleksandar, 2006. "Spectral Methods For Volatility Derivatives," MPRA Paper 5244, University Library of Munich, Germany.
  6. Albanese, Claudio & Lo, Harry & Stathis, Tompaidis, 2006. "A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices," MPRA Paper 5245, University Library of Munich, Germany.
  7. Albanese, Claudio, 2006. "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper 5246, University Library of Munich, Germany, revised 06 Nov 2007.

Articles

  1. Claudio Albanese & Aleksandar Mijatović, 2009. "A Stochastic Volatility Model For Risk-Reversals In Foreign Exchange," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(06), pages 877-899.
  2. Claudio Albanese & Harry Lo & Aleksandar Mijatovic, 2009. "Spectral methods for volatility derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 663-692.
  3. Albanese, Claudio & Tompaidis, Stathis, 2008. "Small transaction cost asymptotics and dynamic hedging," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1404-1414, March.
  4. Albanese, Claudio & Chen, Oliver X., 2006. "Implied migration rates from credit barrier models," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 607-626, February.
  5. Claudio Albanese & Alexey Kuznetsov, 2005. "Affine Lattice Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 223-238.

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2007-10-13
  2. NEP-FMK: Financial Markets (1) 2007-10-13
  3. NEP-RMG: Risk Management (1) 2007-10-13

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