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Publications

by alumni of

Center for Law and Economics
Eidgenössische Technische Hochschule Zürich (ETHZ)
Zürich, Switzerland

(Federal Institute of Technology Zurich)

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2022

  1. Claudio Albanese & Cyril B'en'ezet & St'ephane Cr'epey, 2022. "Hedging Valuation Adjustment and Model Risk," Papers 2205.11834, arXiv.org, revised Dec 2023.
  2. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2022. "Quantitative Reverse Stress Testing, Bottom Up," Working Papers hal-03910136, HAL.

2021

  1. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2021. "Capital and collateral simulation for reverse stress testing," Post-Print hal-03910103, HAL.
  2. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2021. "A Darwinian Theory of Model Risk," Post-Print hal-03910130, HAL.

2020

  1. Claudio Albanese & Stephane Crepey & Rodney Hoskinson & Bouazza Saadeddine, 2020. "XVA Analysis From the Balance Sheet," Papers 2009.00368, arXiv.org.
  2. Claudio Albanese & Marc Chataigner & Stéphane Crépey, 2020. "Wealth Transfers, Indifference Pricing, and XVA Compression Schemes," Post-Print hal-03910047, HAL.
  3. Claudio Albanese & Yannick Armenti & Stéphane Crépey, 2020. "XVA Metrics for CCP Optimisation," Post-Print hal-03910114, HAL.

2018

  1. Claudio Albanese & Simone Caenazzo & Stéphane Crépey, 2018. "Capital and Funding," Working Papers hal-01764401, HAL.

2016

  1. Claudio Albanese & Simone Caenazzo & St'ephane Cr'epey, 2016. "Capital Valuation Adjustment and Funding Valuation Adjustment," Papers 1603.03012, arXiv.org.

2011

  1. Claudio Albanese & Damiano Brigo & Frank Oertel, 2011. "Restructuring Counterparty Credit Risk," Papers 1112.1607, arXiv.org, revised May 2012.

2009

  1. Claudio Albanese & Harry Lo & Aleksandar Mijatovi'c, 2009. "Spectral methods for volatility derivatives," Papers 0905.2091, arXiv.org.

2008

  1. Albanese, Claudio & Vidler, Alicia, 2008. "Dynamic Conditioning and Credit Correlation Baskets," MPRA Paper 8368, University Library of Munich, Germany, revised 21 Apr 2008.

2007

  1. Claudio Albanese & Adel Osseiran, 2007. "Moment Methods for Exotic Volatility Derivatives," Papers 0710.2991, arXiv.org.
  2. 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.
  3. Albanese, Claudio, 2007. "Callable Swaps, Snowballs And Videogames," MPRA Paper 5229, University Library of Munich, Germany, revised 01 Oct 2007.

2006

  1. 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.
  2. Albanese, Claudio, 2006. "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper 5246, University Library of Munich, Germany, revised 06 Nov 2007.

Journal articles

2023

  1. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2023. "Quantitative reverse stress testing, bottom up," Quantitative Finance, Taylor & Francis Journals, vol. 23(5), pages 863-875, May.

2021

  1. Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021. "XVA analysis from the balance sheet," Quantitative Finance, Taylor & Francis Journals, vol. 21(1), pages 99-123, January.

2020

  1. Albanese Claudio & Armenti Yannick & Crépey Stéphane, 2020. "XVA metrics for CCP optimization," Statistics & Risk Modeling, De Gruyter, vol. 37(1-2), pages 25-53, January.

2013

  1. Claudio Albanese & Damiano Brigo & Frank Oertel, 2013. "Restructuring Counterparty Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(02), pages 1-29.

2012

  1. Albanese, Claudio & Lo, Harry & Tompaidis, Stathis, 2012. "A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices," European Journal of Operational Research, Elsevier, vol. 222(2), pages 361-368.

2011

  1. Claudio Albanese & Toufik Bellaj & Guillaume Gimonet & Giacomo Pietronero, 2011. "Coherent global market simulations and securitization measures for counterparty credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 1-20.
  2. Claudio Albanese, 2011. "Kernel Convergence Estimates For Diffusions With Continuous Coefficients," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(07), pages 979-1004.

2009

  1. Claudio Albanese & Harry Lo & Aleksandar Mijatovic, 2009. "Spectral methods for volatility derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 663-692.
  2. 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.

2008

  1. 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.

2006

  1. 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.

2005

  1. Claudio Albanese & Oliver Chen, 2005. "Discrete credit barrier models," Quantitative Finance, Taylor & Francis Journals, vol. 5(3), pages 247-256.
  2. 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.

2004

  1. Claudio Albanese & Ken Jackson & Petter Wiberg, 2004. "A new Fourier transform algorithm for value-at-risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 328-338.

2003

  1. Claudio Albanese & Sebastian Jaimungal & Dmitri Rubisov, 2003. "A two-state jump model," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 145-154.

2002

  1. Claudio Albanese & Ken Jackson & Petter Wiberg, 2002. "Dimension Reduction in the Computation of Value‐at‐Risk," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 3(4), pages 41-53, March.

Books

2005

  1. Albanese, Claudio & Campolieti, Giuseppe, 2005. "Advanced Derivatives Pricing and Risk Management," Elsevier Monographs, Elsevier, edition 1, number 9780120476824.

Chapters

2008

  1. Claudio Albanese & Manlio Trovato, 2008. "A Stochastic Monetary Policy Interest Rate Model," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 343-392, Springer.

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