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8
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71
Advanced derivatives pricing and risk management : theory, tools and hands-on programming application
Albanese, Claudio
;
Campolieti, Giuseppe
-
2006
Persistent link: https://www.econbiz.de/10004821034
Saved in:
72
Models - Towards a global valuation model - Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced....
Albanese, Claudio
;
Gimonet, Guillaume
;
White, Steve
- In:
Risk : managing risk in the world's financial markets
23
(
2010
)
5
,
pp. 68-72
Persistent link: https://www.econbiz.de/10008420229
Saved in:
73
Small transaction cost asymptotics and dynamic hedging
Albanese, Claudio
;
Tompaidis, Stathis
- In:
European journal of operational research : EJOR
185
(
2008
)
3
,
pp. 1404-1414
Persistent link: https://www.econbiz.de/10007895500
Saved in:
74
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Albanese, Claudio
;
Lo, Harry
;
Tompaidis, Stathis
- In:
European journal of operational research : EJOR
222
(
2012
)
2
,
pp. 361-369
Persistent link: https://www.econbiz.de/10009983779
Saved in:
75
Option pricing - Unifying volatility models - The authors introduce a method of building analytically tractable option pricing models that combine state-dependent volatility, stoch...
Albanese, Claudio
;
Kuznetsov, Alexey
- In:
Risk : managing risk in the world's financial markets
17
(
2004
)
3
,
pp. 94-98
Persistent link: https://www.econbiz.de/10007028440
Saved in:
76
Credit derivatives: Credit barrier models The authors construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads.
Albanese, Claudio
;
Campolieti, Giuseppe
;
Chen, Oliver
; …
- In:
Risk : managing risk in the world's financial markets
16
(
2003
)
6
,
pp. 109-114
Persistent link: https://www.econbiz.de/10007031667
Saved in:
77
Option pricing models: Black-Scholes goes hypergeometric - The authors introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytic...
Albanese, Claudio
;
Campolieti, Giuseppe
;
Carr, Peter
; …
- In:
Risk : managing risk in the world's financial markets
14
(
2001
)
12
,
pp. 99-124
Persistent link: https://www.econbiz.de/10007040151
Saved in:
78
OPTIONS: JUMPING IN LINE - The variance gamma jump model is known to describe the volatility smile for short-dated options accurately. However, implementation for exotic pathdepend...
Albanese, Claudio
;
Jaimungal, Sebastian
;
Rubisov, Dmitri
- In:
Risk : managing risk in the world's financial markets
14
(
2001
)
2
,
pp. 65-68
Persistent link: https://www.econbiz.de/10007044944
Saved in:
79
HYBRIDS Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit-equity hybrid product. The uncertainty about what the right pric...
Albanese, Claudio
;
Chen, Oliver
- In:
Risk : managing risk in the world's financial markets
18
(
2005
)
6
,
pp. 83-88
Persistent link: https://www.econbiz.de/10007022575
Saved in:
80
HYBRIDS - Pricing equity default swaps - The authors discuss the challenges of pricing equity default swaps, a credit equity hybrid product. The uncertainty about what the right pr...
Albanese, Claudio
;
Chen, Oliver
- In:
Risk : managing risk in the world's financial markets
18
(
2005
)
6
,
pp. 83-88
Persistent link: https://www.econbiz.de/10007022881
Saved in:
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