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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
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Implied migration rates from credit barrier models
Albanese, Claudio; Chen, Oliver X. - In: Journal of banking & finance 30 (2006) 2, pp. 607-626
Persistent link: https://www.econbiz.de/10005878625
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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
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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 pricing framework should be gives rise to substantial model risk.
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
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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 pricing framework should be gives rise to substantial model risk.
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
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Option pricing - Unifying volatility models - The authors introduce a method of building analytically tractable option pricing models that combine state-dependent volatility, stochastic volatility and jumps
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
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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
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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. But developments in high-throughput computing could lead to the possibility of a global valuation model.
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
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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 pathdependent options can prove difficult. The authors use the method of lines to develop an alternative approach.
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