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Kernel convergence estimates for diffusions with continuous coefficients
Albanese, Claudio - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 979-1004
Persistent link: https://www.econbiz.de/10009407684
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Counterparty risk and funding : the four wings of the TVA
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10009748728
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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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XVA principles, nested Monte Carlo strategies, and GPU optimizations
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar - In: International journal of theoretical and applied finance 21 (2018) 6, pp. 1-40
Persistent link: https://www.econbiz.de/10011926570
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Affine lattice models
Albanese, Claudio; Kuznetsov, Alexey - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 223-238
Persistent link: https://www.econbiz.de/10002679567
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Restructuring counterparty credit risk
Albanese, Claudio; Brigo, Damiano; Oertel, Frank - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10009748714
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A stochastic volatility model for risk-reversals in foreign exchange
Albanese, Claudio; Mijatović, Aleksandar - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 877-899
Persistent link: https://www.econbiz.de/10003911250