Luca Capriotti

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

21

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Top 5,621

in Total Papers Downloads

14,228

SSRN CITATIONS
Rank 13,460

SSRN RANKINGS

Top 13,460

in Total Papers Citations

40

CROSSREF CITATIONS

76

Scholarly Papers (21)

1.

Algorithmic Differentiation: Adjoint Greeks Made Easy

Number of pages: 12 Posted: 04 Apr 2011
Luca Capriotti and Michael B. Giles
Columbia University and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 3,273 (7,140)
Citation 25

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
Columbia University, Quantitative Strategies - Investment Banking Division - Credit Suisse Group and Credit Suisse AG
Downloads 1,514 (24,078)
Citation 21

Abstract:

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

3.

Real-Time Risk Management: An AAD-PDE Approach

Number of pages: 32 Posted: 15 Jul 2015
Luca Capriotti, Yupeng Jiang and Andrea Macrina
Columbia University, University College London and University College London
Downloads 1,022 (42,629)
Citation 1

Abstract:

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Adjoint Algorithmic Differentiation, Partial Differential Equations, Credit Derivatives

4.

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, Columbia University and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 948 (47,314)

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

5.

Adjoint Credit Risk Management

Number of pages: 7 Posted: 20 Oct 2013
Luca Capriotti and Shinghoi (Jacky) Lee
Columbia University and Quantitative Strategies - Investment Banking Division - Credit Suisse Group
Downloads 944 (47,587)
Citation 6

Abstract:

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

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
Columbia University, University College London and University College London
Downloads 908 (50,236)
Citation 15

Abstract:

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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
Columbia University
Downloads 733 (67,092)
Citation 6

Abstract:

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Algorithmic Differentiation, Monte Carlo Simulations, Derivatives Pricing

8.

Fast Correlation Greeks by Adjoint Algorithmic Differentiation

Number of pages: 6 Posted: 12 Apr 2010
Luca Capriotti and Michael B. Giles
Columbia University and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 656 (77,309)
Citation 22

Abstract:

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

9.

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 Columbia University
Downloads 655 (77,470)
Citation 1

Abstract:

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

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 Columbia University
Downloads 528 (101,515)
Citation 4

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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
Columbia University
Downloads 503 (107,703)
Citation 4

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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 Columbia University
Downloads 460 (119,826)
Citation 2

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13.

Least Squares Importance Sampling for Monte Carlo Security Pricing

Number of pages: 12 Posted: 26 Mar 2007 Last Revised: 03 Sep 2008
Luca Capriotti
Columbia University
Downloads 429 (130,024)
Citation 3

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

14.

15 Years of Adjoint Algorithmic Differentiation in Finance

Number of pages: 29 Posted: 30 Oct 2023
Luca Capriotti and Michael B. Giles
Columbia University and University of Oxford - Oxford-Man Institute of Quantitative Finance
Downloads 403 (141,029)

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Algorithmic Differentiation, Monte Carlo Simulations, Partial Differential Equations, Derivatives Pricing, Calibration of Stochastic Models

15.

Reducing the Variance of Likelihood Ratio Greeks in Monte Carlo

Number of pages: 7 Posted: 19 Aug 2008
Luca Capriotti
Columbia University
Downloads 355 (161,031)
Citation 1

Abstract:

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

16.

A Path-Integral Approximation for Non-Linear Diffusions

Number of pages: 7 Posted: 18 Nov 2018
Luca Capriotti
Columbia University
Downloads 267 (217,117)
Citation 2

Abstract:

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

17.

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
Columbia University
Downloads 259 (223,810)

Abstract:

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

18.

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
Columbia University, University College London and King Abdullah University of Science and Technology (KAUST) - Department of Computer, Electrical and Mathematical Sciences & Engineering
Downloads 166 (337,845)

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

19.

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
Columbia University
Downloads 164 (341,409)
Citation 1

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

20.

Semi-Analytical Pricing for Generalized Short Rate Models

Number of pages: 5 Posted: 20 Dec 2023
Ryan Parker, Mark Stedman and Luca Capriotti
University of Cambridge, Independent and Columbia University
Downloads 41 (789,106)

Abstract:

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

21.

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
Columbia University

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Computational Finance, stochastic processes, derivative pricing, path integral