461 citations · 1.9k across the 27 of their papers we have counts for
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Semi-Analytical Pricing for General Default Intensity Models
Ryan Parker, Mark Stedman, Luca Capriotti
Using the path-integral formalism, we develop an accurate and easy-to-compute semi-analytical approximation for a general class of {default intensity} models. We illustrate the acc…
A Path Integral Approach for Time-Dependent Hamiltonians with Applications to Derivatives Pricing
Mark Stedman, Luca Capriotti
We generalize a semi-classical path integral approach originally introduced by Giachetti and Tognetti [Phys. Rev. Lett. 55, 912 (1985)] and Feynman and Kleinert [Phys. Rev. A 34, 5…
Physics and Derivatives: Effective-Potential Path-Integral Approximations of Arrow-Debreu Densities
Luca Capriotti, Ruggero Vaia
We show how effective-potential path-integrals methods, stemming on a simple and nice idea originally due to Feynman and successfully employed in Physics for a variety of quantum t…
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Luca Capriotti, Mike Giles
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key po…