Luca Capriotti

Available identifiers

zbMath Open capriotti.lucaMaRDI QIDQ2929373

List of research outcomes

Publication	Date of Publication	Type
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
https://portal.mardi4nfdi.de/entity/Q3592966	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

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Luca Capriotti