18 results on '"Capriotti, Luca"'
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2. Semi-Analytical Pricing for Generalized Short Rate Models
3. Fuel-Cladding Chemical Interaction of a Prototype Annular U-10Zr Fuel with Fe-12Cr Ferritic/Martensitic Cladding
4. A Path-Integral Approximation for Non-Linear Diffusions
5. Machine Learning and Corporate Bond Trading
6. AAD and Least Squares Monte Carlo: Fast Bermudan-Style Options and XVA Greeks
7. Wrong Way Risk Done Right
8. Real-Time Risk Management: An AAD-PDE Approach
9. An Effective Approximation for Zero-Coupon Bonds and Arrow-Debreu Prices in the Black-Karasinski Model
10. A Spread-Return Mean-Reverting Model for Credit Spread Dynamics
11. Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks
12. Adjoint Credit Risk Management
13. Algorithmic Differentiation: Adjoint Greeks Made Easy
14. Real Time Counterparty Credit Risk Management in Monte Carlo
15. Fast Greeks by Algorithmic Differentiation
16. Fast Correlation Greeks by Adjoint Algorithmic Differentiation
17. Least Squares Importance Sampling for Monte Carlo Security Pricing
18. A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: The Exponent Expansion
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