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

19

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13

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Scholarly Papers (19)

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 2,240 (5,806)

Abstract:

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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 1,128 (17,677)

Abstract:

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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 787 (29,861)

Abstract:

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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 610 (42,157)

Abstract:

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Adjoint Algorithmic Differentiation, Partial Differential Equations, Credit Derivatives

5.

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 516 (52,222)

Abstract:

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

6.

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 502 (54,060)

Abstract:

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

7.

Fast Greeks by Algorithmic Differentiation

Number of pages: 15 Posted: 03 Jun 2010
Luca Capriotti
University College London
Downloads 457 (60,825)

Abstract:

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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 439 (63,883)

Abstract:

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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 375 (77,011)

Abstract:

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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 373 (77,485)

Abstract:

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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 358 (81,276)

Abstract:

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

12.

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 303 (98,358)

Abstract:

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13.

Reducing the Variance of Likelihood Ratio Greeks in Monte Carlo

Number of pages: 7 Posted: 19 Aug 2008
Luca Capriotti
University College London
Downloads 303 (98,003)

Abstract:

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

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 (128,979)

Abstract:

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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 (218,236)

Abstract:

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

16.

Machine Learning and Corporate Bond Trading

Number of pages: 5 Posted: 21 May 2019
Dominic Wright, Luca Capriotti and Shinghoi (Jacky) Lee
Credit Suisse AG, University College London and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 52 (384,794)

Abstract:

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Machine Learning, Recommender Systems, Collaborative Filtering, Corporate Bond Trading

17.

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 48 (388,314)

Abstract:

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

18.

A Path-Integral Approximation for Non-Linear Diffusions

Number of pages: 7 Posted: 18 Nov 2018
Luca Capriotti
University College London
Downloads 36 (432,985)

Abstract:

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

19.

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

Abstract:

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Computational Finance, stochastic processes, derivative pricing, path integral