Advanced derivatives pricing and risk management : theory, tools and hands-on programming application

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, (2003)

Option pricing models: Black-Scholes goes hypergeometric - The authors introduce a general pricing formula that extends Black-Scholes and contains as particular cases most analytically solvable models in the literature, including the quadratic and the constant elasticity of variance models for European-style and barrier options.

Albanese, Claudio, (2001)

Advanced derivatives pricing and risk management : theory, tools and hands-on programming application

Albanese, Claudio, (2006)