Luca Capriotti

University College London

Gower Street

London, WC1E 6BT

United Kingdom

NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering

Brooklyn, NY 11201

United States

SCHOLARLY PAPERS

18

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CITATIONS
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13

Scholarly Papers (18)

1.

Algorithmic Differentiation: Adjoint Greeks Made Easy

Number of pages: 12 Posted: 04 Apr 2011
Luca Capriotti and Michael B. Giles
University College London and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 2,200 (5,722)
Citation 1

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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing

2.

Real Time Counterparty Credit Risk Management in Monte Carlo

Number of pages: 7 Posted: 28 Apr 2011
University College London, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and Credit Suisse AG
Downloads 1,110 (17,398)
Citation 1

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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives

3.

Adjoint Credit Risk Management

Number of pages: 7 Posted: 20 Oct 2013
Luca Capriotti and Shinghoi (Jacky) Lee
University College London and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 782 (28,989)

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Adjoint Algorithmic Differentiation, Credit Risk, Calibration, CDS, CDS Index, CDS Swaptions, Derivatives Pricing

4.

Real-Time Risk Management: An AAD-PDE Approach

Number of pages: 32 Posted: 15 Jul 2015
Luca Capriotti, Yupeng Jiang and Andrea Macrina
University College London, University College London and University College London
Downloads 588 (42,559)

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Adjoint Algorithmic Differentiation, Partial Differential Equations, Credit Derivatives

5.

Fast Correlation Greeks by Adjoint Algorithmic Differentiation

Number of pages: 6 Posted: 12 Apr 2010
Luca Capriotti and Michael B. Giles
University College London and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 497 (52,753)
Citation 3

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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing, Credit Derivatives

6.

AAD and Least-Square Monte Carlo: Fast Bermudan-Style Options and XVA Greeks

Number of pages: 27 Posted: 26 Sep 2016 Last Revised: 23 Aug 2017
Luca Capriotti, Yupeng Jiang and Andrea Macrina
University College London, University College London and University College London
Downloads 494 (53,114)

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Adjoint Algorithmic Differentiation (AAD), Monte Carlo, Bermudan-style options, valuation adjustments (XVA)

7.

Fast Greeks by Algorithmic Differentiation

Number of pages: 15 Posted: 03 Jun 2010
Luca Capriotti
University College London
Downloads 450 (59,758)
Citation 4

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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing

8.

Wrong Way Risk Done Right

Number of pages: 15 Posted: 02 Feb 2015
Shinghoi (Jacky) Lee and Luca Capriotti
Quantitative Strategies - Investment Banking Division - Credit Suisse Group and University College London
Downloads 426 (63,867)

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wrong way risk, counterparty risk, XVA, credit derivatives, Clayton copula, default intensity models

9.

Least Squares Importance Sampling for Monte Carlo Security Pricing

Number of pages: 12 Posted: 26 Mar 2007 Last Revised: 03 Sep 2008
Luca Capriotti
University College London
Downloads 371 (75,200)
Citation 3

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Monte Carlo Simulations, Variance Reduction Techniques, Importance Sampling, Derivatives Pricing

10.

An Effective Approximation for Zero-Coupon Bonds and Arrow-Debreu Prices in the Black-Karasinski Model

Number of pages: 15 Posted: 27 Jan 2014
Beata Stehlikova and Luca Capriotti
Comenius University - Department of Applied Mathematics and Statistics and University College London
Downloads 366 (76,419)

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Stochastic processes, Black-Karasinski, derivative pricing, power series expansions

11.

Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks

Algorithmic Finance (2015), 4:1-2, 81-87
Number of pages: 8 Posted: 13 Oct 2014 Last Revised: 28 Jul 2015
Luca Capriotti
University College London
Downloads 352 (79,914)

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Adjoint Algorithmic Differentiation, Likelihood Ratio Method, Derivatives Pricing, Pathwise Derivative Method, Monte Carlo

12.

Reducing the Variance of Likelihood Ratio Greeks in Monte Carlo

Number of pages: 7 Posted: 19 Aug 2008
Luca Capriotti
University College London
Downloads 302 (95,022)

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Monte Carlo, Likelihood Ratio Methods, Hedging, Variance Reduction, Importance Sampling

13.

A Spread-Return Mean-Reverting Model for Credit Spread Dynamics

Number of pages: 16 Posted: 24 Feb 2014
Stanford University - Department of Electrical Engineering, Credit Suisse AG, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and University College London
Downloads 301 (95,377)

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14.

Least Squares Importance Sampling for Libor Market Models

Wilmott Magazine, September 2007
Number of pages: 20 Posted: 12 Nov 2007 Last Revised: 03 Sep 2008
Luca Capriotti
University College London
Downloads 233 (124,642)
Citation 1

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Monte Carlo Simulations, Variance Reduction Techniques, Importance Sampling, Derivatives Pricing, Libor Market Models

15.

A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: The Exponent Expansion

Number of pages: 28 Posted: 26 Mar 2007 Last Revised: 03 Sep 2008
Luca Capriotti
University College London
Downloads 128 (211,213)

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computational finance, stochastic processes, derivative pricing, path integral Monte Carlo

16.

Approximation Methods for Inhomogeneous Geometric Brownian Motion

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 16 Posted: 11 Oct 2018
Luca Capriotti, Yupeng Jiang and Gaukhar Shaimerdenova
University College London, University College London and King Abdullah University of Science and Technology - Department of Computer, Electrical and Mathematical Sciences & Engineering
Downloads 33 (432,118)

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Inhomogeneous Geometric Brownian Motion; Constant Elasticity of Variance; Arrow-Debreu Security, Derivative Pricing; Power Series Expansions

17.

A Path-Integral Approximation for Non-Linear Diffusions

Number of pages: 7 Posted: 18 Nov 2018
Luca Capriotti
University College London
Downloads 21 (491,768)

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Path integrals; Stochastic processes; Maximum-likelihood estimation; Arrow-Debreu pricing; Zero-coupon bonds; Derivative pricing; Black-Karasinski model

18.

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, Forthcoming
Posted: 27 Feb 2006
Luca Capriotti
University College London

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Computational Finance, stochastic processes, derivative pricing, path integral