Antonio Dalessandro

University College London

Gower Street

London, WC1E 6BT

United Kingdom

  • University College London

SCHOLARLY PAPERS

8

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7,235

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2

CROSSREF CITATIONS

7

Scholarly Papers (8)

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1.

A Stochastic Processes Toolkit for Risk Management

Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 05 Oct 2008
Damiano Brigo, Antonio Dalessandro, Matthias Neugebauer and Fares Triki
Imperial College London - Department of Mathematics, University College London, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
Downloads 6,047 (1,107)
Citation 11

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Risk Management, Stochastic Processes, Maximum Likelihood Estimation, Fat Tails, Mean Reversion, Monte Carlo Simulation

2.

Effective Strategies for Assets and Liabilities Management

Number of pages: 19 Posted: 14 Feb 2014
Antonio Dalessandro
University College London
Downloads 606 (44,475)
Citation 1

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Asset and Liability Management (ALM), Funds Transfer Pricing Systems, Funding Costs, ALM strategy, FTP Curve, Balance Sheet, Financial Institution, Capital and Funding Management, Liquidity, VaR, ROE, WACC, Basel III

3.

Credit Migration Risk and Point in Time Credit Dynamics: A New Perspective for Credit Risk Management

Number of pages: 48 Posted: 08 Dec 2011
Antonio Dalessandro
University College London
Downloads 288 (108,022)
Citation 1

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credit rating, credit migration matrices, point-in-time credit dynamics, credit cycle, dynamic credit migration correlation, continuous time-inhomogeneous, Markov chains, functional analysis

4.

All Your Hedges in One Matrix

Number of pages: 32 Posted: 08 Dec 2011
Antonio Dalessandro
University College London
Downloads 141 (210,605)
Citation 1

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implied credit rating, point-in-time credit dynamics, dynamic correlated defaults, local correlation, credit cycle, market state dependent recovery, credit risk premia, asymmetric variance gamma process, continuous time-inhomogeneous Markov chains, functional analysis

5.

Tensor Approximation of Generalized Correlated Diffusions and Functional Copula Operators

Dalessandro, A. & Peters, G.W. Methodology and Computing in Applied Probability (2017). doi:10.1007/s11009-017-9545-8
Number of pages: 35 Posted: 26 Feb 2015 Last Revised: 04 Sep 2019
Antonio Dalessandro and Gareth Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 78 (317,146)
Citation 2

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Martingale Representation; Semimartingales Decomposition; Copula Infinitesimal Generators

6.

Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas: Part A

Number of pages: 34 Posted: 22 Jul 2016 Last Revised: 31 May 2017
Antonio Dalessandro and Gareth Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 75 (324,437)
Citation 1

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Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor algebra

7.

Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas

Posted: 03 Oct 2016 Last Revised: 04 Sep 2019
Antonio Dalessandro and Gareth Peters
University College London and Department of Actuarial Mathematics and Statistics, Heriot-Watt University

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Concordance Measures, Copula Functions, Copula Infinitesimal Generators, Martingale Problem, Multidimensional Semimartingales Decomposition Approximations, Semimartingales Decomposition, Tensor Algebra

8.

Markov Chain Monte Carlo Toolkit

Posted: 12 Feb 2014 Last Revised: 13 Feb 2014
Antonio Dalessandro
University College London

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Metropolis, Metropolis-Hastings Sampler, Blockwise Sampler, Component-wise Sampler, Gibbs Sampler, Hybrid Markov Chain Monte Carlo, Hamiltonian MCMC