276 citations · 351 across the 11 of their papers we have counts for
13 papers
XVA Analysis From the Balance Sheet
Claudio Albanese, Stephane Crepey, Rodney Hoskinson +1
XVAs denote various counterparty risk related valuation adjustments that are applied to financial derivatives since the 2007--09 crisis. We root a cost-of-capital XVA strategy in a…
Capital Valuation Adjustment and Funding Valuation Adjustment
Claudio Albanese, Simone Caenazzo, Stéphane Crépey
In the aftermath of the 2007 global financial crisis, banks started reflecting into derivative pricing the cost of capital and collateral funding through XVA metrics. Here XVA is a…
Restructuring Counterparty Credit Risk
Claudio Albanese, Damiano Brigo, Frank Oertel
We introduce an innovative theoretical framework to model derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends th…
Spectral methods for volatility derivatives
Claudio Albanese, Harry Lo, Aleksandar Mijatović
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as one of the listed products, options on its implied volatility index (VIX). This created the challe…
Stochastic Mechanics as a Gauge Theory
Claudio Albanese
We show that non-relativistic Quantum Mechanics can be faithfully represented in terms of a classical diffusion process endowed with a gauge symmetry of group Z_4. The representati…
Stochastic Integrals and Abelian Processes
Claudio Albanese
We study triangulation schemes for the joint kernel of a diffusion process with uniformly continuous coefficients and an adapted, non-resonant Abelian process. The prototypical exa…