Luca Capriotti

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

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

Research outcomes over time

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