Education

1988: Ph.D., Nat.Dr., Mathematical Physics, Swiss Federal Institute
of Technology (ETHZ), Zuerich, Switzerland
1985: B.Sc., Laurea, Physics, Universita di Pavia, Italy

Employment

May 2007-...: Independent Consultant

April 2009 Visiting Professor of Mathematical Finance, LUISS University, Rome

September 2008-...: Visiting Professor of Mathematical Finance, King's College London

January 2004 - April 2007: Professor of Mathematical Finance, Imperial College, University of London

July 1994- September 2004: Associate Professor, Mathematics Department, University of Toronto

July 2003- April 04: Visiting Professor, Department of Mathematics, Singapore National University

July 1998 - May 1999: Vice President, Derivative Products Group, Fixed iIncome Division, Morgan Stanley Dean Witter, New York

January-May 1995: School of Mathematics, Institute for Advanced Study, Princeton

September 1991 - August 1994: Senior Research Associate, Institute for Theoretical Physics Swiss Federal Institute of Technology, Zurich

January- February 1993: Sloan Laboratory, California Institute of Technology, Pasadena

May-June 1992: Institute des Hautes Etude Scientifique, Bures sur Yvette.

July 1990 - June 1991: Instructor, Physics Department, Princeton University

July 1989 - June 1990: Visiting Member, Courant Institute of Mathematical
Sciences, New York University.

June 1988: Institute des Hautes Etude Scientifique, Bures sur Yvette.

July 1988 - June 1989: Hedrick Assistant Professor, Department of Mathematics, University of California, Los Angeles

Publications and Preprints

[55] Albanese C. Kernel Convergence Estimates for Diffusions with Continuous Coefficients, preprint, 2007.

[54] Albanese C. Operator Methods, Abelian Processes and Dynamic Conditioning. preprint, 2007.

[53] Osseiran A. Albanese C. Moment Methods for Volatility Contracts. preprint, 2007.

[52] Albanese C. Callable Swaps, Snowballs and Viedeogames.

[51] Vidler A. Albanese C. A Structural Model for Bespoke CDOs. Willmott Magazine, June 2007.

[50] Jones P. Albanese C. Non-resonant Block Diagonalization Techniques for Cliquets. preprint, 2007.

[49] Albanese C. and M. Trovato. A Stochastic Monetary Policy Interest Rate Model. preprint, 2007.

[48] Albanese C. and M. Trovato. A Stochastic Volatility Model for Callable CMS Swaps and Translation Invariant Path Dependent Derivatives. preprint, 2007.

[47] Albanese C. Operator Methods in Mathematical Finance. to appear in the QMF Conference Proceedings, Quantitative Finance, 2006.

[46] Albanese C. and A. Mijatovic. Convergence Estimates for Diffusions on Continuous Time Lattices. preprint, 2006.

[45] Albanese C. and M. Trovato. A Stochastic Volatility Model for Callable CMS Swaps and Translation Invariant Path Dependent Derivatives. preprint, 2006.

[44] Albanese C., H. Lo, and S. Tompaidis. A Numerical Method for Pricing Electricity Derivatives Based on Continuous Time Lattices. preprint, 2006.

[43] Albanese C., O. Chen, A. Dalessandro, and A. Vidler. Dynamic Credit Correlation Modelling. preprint, 2005-2006.

[42] Albanese C. and A. Mijatovic. A Stochastic Volatility Model for Risk- Reversals in Foreign Exchange. International Journal of Theoretical and Applied Finance, to appear, 2006.

[41] Albanese C. and M. Trovato. A Stochastic Volatility Model for Swaptions for Bermuda Swaptions and Callable Constant Maturity Swaps. preprint, 2005.

[40] Albanese C. and A. Kusnetsov. Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions. preprint, 2005.

[39] Albanese C. and X.O. Chen. Pricing Equity Default Swaps. Risk, 18:83–87, 2005.

[38] Albanese C. and Lawi S. Laplace Transforms for Integrals of Markov Processes. Markov Processes Related Fields, 11:677–724, 2005.

[37] Albanese C. and X.O. Chen. Discrete Credit Barrier Models. Quantitative Finance, 5:247–256, 2005.

[36] C. Albanese, M. Christandl, N. Datta, and A. Ekert. Mirror Inversion of Quantum States in Linear Registers. Phys. Rev. Lett., 93, 2004.

[35] Albanese C. and S. Lawi. Poisson Kernels as Expansions in q-Racah Polynomials. SIAM, Journal of Mathematical Analysis, 38/3:977–984, 2006.

[34] Albanese C. and X.O. Chen. Discretized Credit Barrier Models. Mathematics of Finance, Contemporary Mathematics, Eds. G. Yin and Q. Zhang, pages 1–11, 2004.

[33] Albanese C. and Kuznetsov A. Ane Lattice Models. International Journal of Theoretical and Applied Finance, pages 223–238, 2005.

[32] Albanese C. and Kusnetsov A. Discretization Schemes for Subordinated Processes. preprint, 2003.

[31] Albanese C. and S. Lawi. Time Quantization and q-Deformations. J. Phys. A, 37:2983–2987, 2004.

[30] Albanese C. and Kusnetsov A. Unifying the Three Volatility Models. Risk Magazine, March 2003.

[29] Albanese C. and Chen O. Implied Migration Rates from Credit Barrier Models. Journal of Banking and Finance, 30:607–626, 2006.

[28] Albanese C., Campolieti G., Carr P., and Lipton A. Black-Scholes Goes Hypergeometric. Exotic Options: the Cutting Edge Collection, Riskwaters, Apr 2003.

[27] Albanese C., Jaimungal S., and Rubisov D. Jumping in Line. Exotic Options: the Cutting Edge Collection, Riskwaters, Apr 2003.

[26] Albanese C. and Lawi S. Spectral Risk Measures for Credit Portfolios. New Risk Measures for Investment and Regulation, editor Szego G., John Wiley and Sons, 2003.

[25] Albanese C., Kusnetsov A., and Hauvillier P. A Classification Scheme for Integrable Diffusions. preprint, 2003.

[24] Albanese C., Campolieti G., Chen O., and Zavidonov A. Credit Barrier Models with Jumps. Risk, 16:109–113, 2003.

[23] Albanese C., Campolieti G., Carr P., and Lipton A. Black-Scholes Goes Hypergeometric. Risk Magazine, 14, Dec 2001.

[22] Albanese C. and Campolieti G. Extensions of the Black-Scholes Formula. preprint, March 2001.

[21] Albanese C., Jaimungal S., and Rubisov D. Jumping in Line. Risk Magazine, 14, Feb. 2001.

[20] Albanese C., Jaimungal S., and Rubisov D. The Model of Lines for Option Pricing with Jumps. preprint, Sep. 2000.

[19] Albanese C., Jaimungal S., and Rubisov D. A Jump Model with Binomial Volatility. Quantitative Finance, Apr. 2003.

[18] Albanese C. and Campolieti G. New Families of Integrable Diffusions. preprint, March 2001.

[17] Albanese C., Jackson K., and Wiberg P. Fourier Transform Methods for Value-at-Risk. Quantitative Finance, to appear.

[16] Albanese C., Jackson K., and Wiberg P. Dimensional Reduction Methods in Risk Management. Journal of Risk Finance, June 2002.

[15] Albanese C. and Seco L. Harmonic Analysis and Value at Risk. Revista Mathematica Ibero Americana, 2001.

[14] Albanese C. and Datta N. Quantum Criticality, Mott Transition and Sign Problem for a System of Lattice Fermions. Communications in Mathematical Physics, 1995.

[13] Albanese C. A Goldstone Mode in the Kawasaki-Ising Model. Communications in Mathematical Physics, 1995.

[12] Albanese C. Multivoice Littlewood-Paley-Meyer Wavelets and Diagonal Dominated Pseudo-Differential Operators. Communications in Mathematical Physics, 1994.

[11] Albanese C. Quasiperiodic Schroedinger Operators with Purely Absolutely Continuous Spectrum. Ann.Inst.H.Poincare, sec.Analyse non Lineaire, 1992.

[10] Albanese C. Unitary Dressing Transformations and Exponential Decay below Threshold for Quantum Spin Systems. parts III and IV. Communications in Mathematical Physics, 1990.

[9] Albanese C. Unitary Dressing Transformations and Exponential Decay below Threshold for Quantum Spin Systems. parts I and II. Communications in Mathematical Physics, 1990.

[8] Albanese C. On the Spectrum of the Heisenberg Model. Journal of Statistical Physics, 1989.

[7] Albanese C. Spinless Particles in a Narrow Band Periodic Potential. Journal of Statistical Physics, 1989.

[6] Bruder C. Albanese C. A New Variational Ansatz for the Ground State of the Antiferromagnetic Heisenberg Model. Europhysics Letters, 1989.

[5] Albanese C. A Continuation Method for non-Linear Eigenvalue Problems. Journal of functional analysis, 1989.

[4] Albanese C. Localised Solutions of Hartree Equations for Narrow Band Crystals. Communications in Mathematical Physics, 1988.

[3] Froehlich J. Albanese C. Periodic Solutions of some Infinite Dimensional Hamiltonian Systems Associated with non-Linear Partial Difference Equations.III. Communications in Mathematical Physics, 1988.

[2] Spencer T. Albanese C., Froehlich J. Periodic Solutions of some Infinite Dimensional Hamiltonian Systems Associated with non-Linear Partial Difference Equations. II. Communications in Mathematical Physics, 1988.

[1] Froehlich J. Albanese C. Periodic Solutions of some Infinite Dimensional Hamiltonian Systems Associated with non-Linear Partial Difference Equations.I. Communications in Mathematical Physics, 1988.