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Publications

by alumni of

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

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. Cyril B'en'ezet & St'ephane Cr'epey, 2022, "Handling model risk with XVAs," Papers, arXiv.org, number 2205.11834, May, revised Aug 2024.
  2. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2022, "Quantitative Reverse Stress Testing, Bottom Up," Working Papers, HAL, number hal-03910136, Dec.

2021

  1. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2021, "Capital and collateral simulation for reverse stress testing," Post-Print, HAL, number hal-03910103, DOI: 10.1515/9783110647907-017.
  2. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2021, "A Darwinian Theory of Model Risk," Post-Print, HAL, number hal-03910130, DOI: 10.2139/ssrn.3544862.

2020

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

2018

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

2016

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

2011

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

2009

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

2008

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

2007

  1. Claudio Albanese & Adel Osseiran, 2007, "Moment Methods for Exotic Volatility Derivatives," Papers, arXiv.org, number 0710.2991, Oct.
  2. Albanese, Claudio & Vidler, Alicia, 2007, "A STRUCTURAL MODEL FOR CREDIT-EQUITY DERIVATIVES AND BESPOKE CDOs," MPRA Paper, University Library of Munich, Germany, number 5227, Jan, revised 09 Sep 2007.
  3. Albanese, Claudio, 2007, "Callable Swaps, Snowballs And Videogames," MPRA Paper, University Library of Munich, Germany, number 5229, Sep, 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, University Library of Munich, Germany, number 5245, May.
  2. Albanese, Claudio, 2006, "Operator Methods, Abelian Processes And Dynamic Conditioning," MPRA Paper, University Library of Munich, Germany, number 5246, Dec, 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, volume 23, issue 5, pages 863-875, May, DOI: 10.1080/14697688.2023.2187315.

2021

  1. Claudio Albanese & Stéphane Crépey & Rodney Hoskinson & Bouazza Saadeddine, 2021, "XVA analysis from the balance sheet," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 1, pages 99-123, January, DOI: 10.1080/14697688.2020.1817533.

2020

  1. Albanese Claudio & Armenti Yannick & Crépey Stéphane, 2020, "XVA metrics for CCP optimization," Statistics & Risk Modeling, De Gruyter, volume 37, issue 1-2, pages 25-53, January, DOI: 10.1515/strm-2017-0034.

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., volume 16, issue 02, pages 1-29, DOI: 10.1142/S0219024913500106.

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, volume 222, issue 2, pages 361-368, DOI: 10.1016/j.ejor.2012.04.030.

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, volume 11, issue 1, pages 1-20, DOI: 10.1080/14697688.2010.542633.
  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., volume 14, issue 07, pages 979-1004, DOI: 10.1142/S0219024911006619.

2009

  1. Claudio Albanese & Harry Lo & Aleksandar Mijatovic, 2009, "Spectral methods for volatility derivatives," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 6, pages 663-692, DOI: 10.1080/14697680902773603.
  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., volume 12, issue 06, pages 877-899, DOI: 10.1142/S0219024909005506.

2008

  1. Albanese, Claudio & Tompaidis, Stathis, 2008, "Small transaction cost asymptotics and dynamic hedging," European Journal of Operational Research, Elsevier, volume 185, issue 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, volume 30, issue 2, pages 607-626, February.

2005

  1. Claudio Albanese & Oliver Chen, 2005, "Discrete credit barrier models," Quantitative Finance, Taylor & Francis Journals, volume 5, issue 3, pages 247-256, DOI: 10.1080/14697680500148943.
  2. Claudio Albanese & Alexey Kuznetsov, 2005, "Affine Lattice Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 02, pages 223-238, DOI: 10.1142/S0219024905002986.

2004

  1. Claudio Albanese & Ken Jackson & Petter Wiberg, 2004, "A new Fourier transform algorithm for value-at-risk," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 3, pages 328-338, DOI: 10.1088/1469-7688/4/3/008.

2003

  1. Claudio Albanese & Sebastian Jaimungal & Dmitri Rubisov, 2003, "A two-state jump model," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 2, pages 145-154, DOI: 10.1088/1469-7688/3/2/308.

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, volume 3, issue 4, pages 41-53, March, DOI: 10.1108/eb043499.

Books

2005

  1. Albanese, Claudio & Campolieti, Giuseppe, 2005, "Advanced Derivatives Pricing and Risk Management," Elsevier Monographs, Elsevier, number 9780120476824, edition 1, ISBN: ARRAY(0x7c9f9188).

Chapters

2008

  1. Claudio Albanese & Manlio Trovato, 2008, "A Stochastic Monetary Policy Interest Rate Model," Springer Books, Springer, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker, "Computational Methods in Financial Engineering", DOI: 10.1007/978-3-540-77958-2_17.

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