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Capriotti, Luca's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,539 |
Total
Citations
13 |
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1.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group Giles, Michael B.
University of Oxford - Oxford-Man Institute of Quantitative Finance
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649
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1
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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing
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2.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group Lee, Jacky
Credit Suisse Group Peacock, Matthew
Credit Suisse Group
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520
(24,237)
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1
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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives
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3.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
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26 Mar 07
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Last Revised:
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03 Sep 08
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325
(43,867)
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2
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Monte Carlo Simulations, Variance Reduction Techniques, Importance Sampling, Derivatives Pricing
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4.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
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273
(53,696)
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Monte Carlo, Likelihood Ratio Methods, Hedging, Variance Reduction, Importance Sampling
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5.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group Giles, Michael B.
University of Oxford - Oxford-Man Institute of Quantitative Finance
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234
(63,906)
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4
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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives
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6.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
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222
(67,237)
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4
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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing
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7.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
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12 Nov 07
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Last Revised:
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03 Sep 08
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216
(69,194)
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1
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Monte Carlo Simulations, Variance Reduction Techniques, Importance Sampling, Derivatives Pricing, Libor Market Models
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8.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
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26 Mar 07
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Last Revised:
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03 Sep 08
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100
(135,253)
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computational finance, stochastic processes, derivative pricing, path integral Monte Carlo
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9.
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Capriotti, Luca
Quantitative Strategies - Investment Banking Division - Credit Suisse Group
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Computational Finance, stochastic processes, derivative pricing, path integral
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