Luca Capriotti / Modelling and Quantitative Finance
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In the Press

Chips off the menu: AAD vs GPUs: banks turn to maths trick as chips lose appeal Maths versus Machine, Risk Magazine 2015.

Maths versus Machine, Risk Magazine 2014.  

Credit Suisse: Algorithmic Gymnastic , Risk Magazine 2012.  


Selected Publication in Finance

AAD and Least Squares Monte Carlo: Fast Bermudan and XVA Greeks,
L. Capriotti, Yupeng Jiang and Andrea Macrina, Algorithmic Finance, 6 35 (2017).[PDF]

Real-time risk management: An AAD-PDE approach,
L. Capriotti, Yupeng Jiang and Andrea Macrina, Int. J. of Fin. Engineering, 2 1550039 (2015).[PDF]

Wrong Way Risk Done Right,
Jacky Lee and L. Capriotti, Risk Magazine, September (2015). [PDF]      

Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks,
L. Capriotti, Algorithmic Finance (2015), 4 81 (2014). [PDF]    

Adjoint Credit Risk Management,
L. Capriotti and Jacky Lee, Risk Magazine, August (2014). [PDF]

Effective Approximations for Arrow-Debreu Prices in Short Rate Models ,
Beata Stehlikova and L. Capriotti, Int. J. Theo. and Appl. Finance, 17 1450037 (2014). [PDF]

A Novel Model for Credit Spreads Dynamics,
Brendan O’Donoghue, Matthew Peacock, Jacky Lee, and L. Capriotti,
Int. J. Theo. and Appl. Finance, 17 1450017 (2014). [PDF]

Algorithmic Differentiation: Adjoint Greeks Made Easy,
L. Capriotti and Mike Giles, Risk Magazine, September (2012). [PDF]

Gestione del Rischio di Credito di Controparte in Tempo Reale,
Luca Capriotti, Jacky Lee, and Matthew Peacock, Risk Italia, Autunno (2011).

Calculating Risk in Real Time,
Luca Capriotti, Jacky Lee, and Matthew Peacock, Credit Flux, September (2011). [PDF]

Real Time Counterparty Credit Risk Management in Monte Carlo,
Luca Capriotti, Jacky Lee, and Matthew Peacock, Risk Magazine, May (2011). [PDF]

Fast Greeks by Algorithmic Differentiation,
L. Capriotti, Journal of Computational Finance 14, 3 (2011). [PDF]

Fast Correlation Greeks by Adjoint Algorithmic Differentiation,
L. Capriotti and Mike Giles, Risk Magazine, April (2010). [PDF] [Journal]

Reducing the Variance of Likelihood Ratio Greeks,
L. Capriotti, Proceedings of the 2008 Winter Simulation Conference. [PDF]

Least Squares Importance Sampling for Monte Carlo Security Pricing
L. Capriotti, Quantitative Finance 8, 485 (2008). [PDF]

Least Squares Importance Sampling for Libor Market Models
L. Capriotti, Wilmott Magazine, November (2007). [PDF]

A Closed-form Approximation of Likelihood Functions for Discretely Sampled Diffusions: The Exponent Expansion,
L. Capriotti, New Econometric Modelling Research, Edited by W. N. Toggins, Nova publishers, (2007). [PDF]

The Exponent Expansion: An Effective Approximation of Transition Probabilities of Diffusion Processes and Pricing Kernels of Financial Derivatives,
L. Capriotti, Int. J. Theo. and Appl. Finance 9, 1179 (2006). [PDF]

All Publications on ssrn.

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