Albanese, Claudio

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Claudio Albanese is a consultant for banks and financial services firms.

Research interests

  • Operator methods for stochastic processes and mathematical finance
  • Dynamic credit correlation modeling, bespoke CDOs, credit-equity models, rating based models, CDSs on leveraged loans, CDS options
  • Interest rate models, stochastic monetary policy models, swaption volatility cube calibration, CMS spreads
  • Variance and volatility swaps, cliquets and quanto cliquets, variance knockout options, equity barrier options
  • Stochastic skew FX models

Selected Publications

  • Albanese C. Operator Methods, Abelian Processes and Dynamic Conditioning. Preprint, 2007.
  • Albanese C. and Vidler A. A Structural Model for Bespoke CDOs. Willmott Magazine, June 2007.
  • Albanese C. and M. Trovato. A Stochastic Monetary Policy Interest Rate Model. Preprint, 2007.
  • Albanese C. and M. Trovato. A Stochastic Volatility Model for Callable CMS Swaps and Translation Invariant Path Dependent Derivatives. Preprint, 2007.
  • Albanese C. and A. Mijatovic. Convergence Estimates for Diffusions on Continuous Time Lattices. Preprint, 2006.
  • Albanese C., H. Lo, and S. Tompaidis. A Numerical Method for Pricing Electricity Derivatives Based on Continuous Time Lattices. preprint, 2006.
  • Albanese C., O. Chen, A. Dalessandro, and A. Vidler. Dynamic Credit Correlation Modelling. Preprint, 2005-2006.
  • Albanese C. and A. Mijatovic. A Stochastic Volatility Model for Risk-Reversals in Foreign Exchange. International Journal of Theoretical and Applied Finance, to appear, 2006.
  • Albanese C. and A. Kusnetsov. Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions. Preprint, 2005.
  • Albanese C. and X.O. Chen. Pricing Equity Default Swaps. Risk, 18:83–87, 2005.
  • Albanese C. and Lawi S. Laplace Transforms for Integrals of Markov Processes.Markov Processes Related Fields, 11:677–724, 2005.
  • Albanese C. and X.O. Chen. Discrete Credit Barrier Models. Quantitative Finance, 5:247–256, 2005.
  • Albanese C., M. Christandl, N. Datta, and A. Ekert. Mirror Inversion of Quantum States in Linear Registers. Phys. Rev. Lett., 93, 2004.
  • Albanese C. and S. Lawi. Poisson Kernels as Expansions in q-Racah Polynomials. SIAM, Journal of Mathematical Analysis, 38/3:977–984, 2006.
  • Albanese C. and Kuznetsov A. Affine Lattice Models. International Journal of Theoretical and Applied Finance, pages 223–238, 2005.
  • Albanese C. and S. Lawi. Time Quantization and q-Deformations. J. Phys. A, 37:2983–2987, 2004.
  • Albanese C. and Kusnetsov A. Unifying the Three Volatility Models. Risk Magazine, March 2003.
  • Albanese C. and Chen O. Implied Migration Rates from Credit Barrier Models. Journal of Banking and Finance, 30:607–626, 2006.
  • Albanese C., Campolieti G., Carr P., and Lipton A. Black-Scholes Goes Hypergeometric. Exotic Options: the Cutting Edge Collection, Riskwaters, Apr 2003.
  • Albanese C. and Lawi S. Spectral Risk Measures for Credit Portfolios. New Risk Measures for Investment and Regulation, editor Szego G., John Wiley and Sons, 2003.
  • Albanese C., Kusnetsov A., and Hauvillier P. A Classification Scheme for Integrable Diffusions. preprint, 2003.
  • Albanese C., Campolieti G., Chen O., and Zavidonov A. Credit Barrier Models with Jumps. Risk, 16:109–113, 2003.
  • Albanese C., Campolieti G., Carr P., and Lipton A. Black-Scholes Goes Hypergeometric. Risk Magazine, 14, Dec 2001.
  • Albanese C. and Campolieti G. Extensions of the Black-Scholes Formula. Preprint, March 2001.
  • Albanese C., Jaimungal S., and Rubisov D. Jumping in Line. Risk Magazine, 14, Feb. 2001.
  • Albanese C., Jaimungal S., and Rubisov D. A Jump Model with Binomial Volatility. Quantitative Finance, Apr. 2003.
  • Albanese C., Jackson K., and Wiberg P. Fourier Transform Methods for Value-at-Risk. Quantitative Finance.
  • Albanese C., Jackson K., and Wiberg P. Dimensional Reduction Methods in Risk Management. Journal of Risk Finance, June 2002.
  • Albanese C. and Datta N. Quantum Criticality, Mott Transition and Sign Problem for a System of Lattice Fermions. Communications in Mathematical Physics, 1995.
  • Albanese C. A Goldstone Mode in the Kawasaki-Ising Model. Communications in Mathematical Physics, 1995.
  • Albanese C. Multivoice Littlewood-Paley-Meyer Wavelets and Diagonal Dominated PseudoDifferential Operators. Communications in Mathematical Physics, 1994.
  • Albanese C. Quasiperiodic Schroedinger Operators with Purely Absolutely Continuous Spectrum. Ann.Inst.H.Poincare, sec.Analyse non Lineaire, 1992.
  • Albanese C. Unitary Dressing Transformations and Exponential Decay below Threshold for Quantum Spin Systems. parts III and IV. Communications in Mathematical Physics, 1990.
  • Albanese C. Unitary Dressing Transformations and Exponential Decay below Threshold for Quantum Spin Systems. parts I and II. Communications in Mathematical Physics, 1990.
  • Albanese C. On the Spectrum of the Heisenberg Model. Journal of Statistical Physics, 1989.
  • Albanese C. A Continuation Method for non-Linear Eigenvalue Problems. Journal of functional analysis, 1989.
  • Froehlich J. Albanese C. Periodic Solutions of some Infinite Dimensional Hamiltonian Systems Associated with non-Linear Partial Difference Equations. III. Communications in Mathematical Physics, 1988.
  • Spencer T. Albanese C., Froehlich J. Periodic Solutions of some Infinite Dimensional Hamiltonian Systems Associated with non-Linear Partial Difference Equations. II. Communications in Mathematical Physics, 1988.
  • Froehlich J. Albanese C. Periodic Solutions of some Infinite Dimensional Hamiltonian Systems Associated with non-Linear Partial Difference Equations. I. Communications in Mathematical Physics, 1988.