Luca Capriotti

Available identifiers

Publication	Date of Publication	Type
15 years of Adjoint Algorithmic Differentiation (AAD) in finance	2025-01-06	Paper
Machine learning and corporate bond trading	2020-02-25	Paper
A path-integral approximation for non-linear diffusions	2020-02-10	Paper
Approximation methods for inhomogeneous geometric Brownian motion	2019-04-18	Paper
Likelihood ratio method and algorithmic differentiation: fast second order Greeks	2018-09-13	Paper
AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks	2018-09-13	Paper
An effective approximation for zero-coupon bonds and Arrow-Debreu prices in the Black-Karasinski model	2014-11-12	Paper
A spread-return mean-reverting model for credit spread dynamics	2014-06-13	Paper
Least-squares Importance Sampling for Monte Carlo security pricing	2009-02-23	Paper
The resonating valence bond wave functions in quantum antiferromagnets	2007-09-24	Paper
THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES	2007-02-08	Paper

This page was built for person: Luca Capriotti