Luca Capriotti

Least-squares Importance Sampling for Monte Carlo security pricing

Luca Capriotti, L. Capriotti, 2007, physics/0703181.

Likelihood Ratio Method and Algorithmic Differentiation: Fast Second Order Greeks

Luca Capriotti, 2015, Algorithmic Finance.

Reducing the variance of likelihood ratio greeks in Monte Carlo

Luca Capriotti, L. Capriotti, 2008, 2008 Winter Simulation Conference.

Case Studies of Real-Time Risk Management via Adjoint Algorithmic Differentiation (AAD)

Luca Capriotti, Jacky Lee, 2018 .

AAD and Least-Square Monte Carlo: Fast Bermudan-Style Options and XVA Greeks

Yupeng Jiang, Andrea Macrina, Luca Capriotti, 2016, Algorithmic Finance.

Machine Learning and Corporate Bond Trading

Luca Capriotti, Dominic Wright, Shinghoi (Jacky) Lee, 2018, Algorithmic Finance.

Quantum Effects and Broken Symmetries in Frustrated Antiferromagnets

Luca Capriotti, 2001 .

Testing fast reactor fuels in a thermal reactor

Samuel E. Bays, Luca Capriotti, Stephen R. Novascone, 2018 .