Financial Mathematics
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King's College London Financial Mathematics |
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Prof Claudio Albanese
Department of Mathematics
Tel: +44-(0)20-7848 2217 (general office) |
Claudio Albanese joins the
Financial Mathematics Group in September 2008 as Visiting Professor. He received
his doctorate in Physics from ETH Zurich, following which he held post-doctoral
positions at New York University and Princeton University. He was Associate Professor in the Mathematics Department of the University of Toronto and then Professor
of Mathematical Finance at Imperial College London.
Selected Math papers:
C.
Albanese: Stochastic Integrals and Abelian Processes
C.
Albanese: Kernel Convergence Estimates for Diffusions with Continuous
Coefficients
C.
Albanese: Operator Methods, Abelian Processes and Dynamic Conditioning
C.
Albanese, A. Kuznetsov: Transformations of Markov Processes and Classification
Scheme for Solvable Driftless Diffusions
C.
Albanese, S. Lawi: Laplace Transforms for Integrals of Stochastic Processes
Selected Math Finance papers:
C.
Albanese, A. Vidler: Dynamic Conditioning and Credit Correlation Baskets
C.
Albanese: Callable Swaps, Snowballs and Videogames
C.
Albanese, A. Osseiran: Moment Methods for Exotic Volatility Derivatives
C.
Albanese, J. Campolieti, P. Carr, A. Lipton: Black-Scholes Goes Hypergeometric
Further details of these papers, other publications and work by Professor Albanese are available here.