RAMPONI, ALESSANDRO
RAMPONI, ALESSANDRO
Mostra
records
Risultati 1 - 8 di 8 (tempo di esecuzione: 0.014 secondi).
Wrong Way Risk corrections to CVA in CIR reduced-form models
2023-01-01 Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio
Probabilistic and statistical methods in commodity risk management
2023-01-01 Antonelli, Fabio; Cerqueti, Roy; Ramponi, Alessandro; Scarlatti, Sergio
CVA in fractional and rough volatility models
2023-01-01 Alòs, Elisa; Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio
On a convergent power series method to price defaultable bonds in a Vasicek-CIR model
2022-01-01 Antonelli, F.; Ramponi, A.; Scarlatti, S.
Approximate value adjustments for European claims
2022-01-01 Antonelli, F; Ramponi, A; Scarlatti, S
A moment matching method for option pricing under stochastic interest rates
2021-01-01 Antonelli, F.; Ramponi, A.; Scarlatti, S.
CVA and vulnerable options pricing by correlation expansions
2019-01-01 Antonelli, F.; Ramponi, A.; Scarlatti, S.
Option-based risk management of a bond portfolio under regime switching interest rates
2013-01-01 Antonelli, Fabio; Ramponi, A; Scarlatti, S.
| Titolo | Data di pubblicazione | Autore(i) | File |
|---|---|---|---|
| Wrong Way Risk corrections to CVA in CIR reduced-form models | 1-gen-2023 | Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio | |
| Probabilistic and statistical methods in commodity risk management | 1-gen-2023 | Antonelli, Fabio; Cerqueti, Roy; Ramponi, Alessandro; Scarlatti, Sergio | |
| CVA in fractional and rough volatility models | 1-gen-2023 | Alòs, Elisa; Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio | |
| On a convergent power series method to price defaultable bonds in a Vasicek-CIR model | 1-gen-2022 | Antonelli, F.; Ramponi, A.; Scarlatti, S. | |
| Approximate value adjustments for European claims | 1-gen-2022 | Antonelli, F; Ramponi, A; Scarlatti, S | |
| A moment matching method for option pricing under stochastic interest rates | 1-gen-2021 | Antonelli, F.; Ramponi, A.; Scarlatti, S. | |
| CVA and vulnerable options pricing by correlation expansions | 1-gen-2019 | Antonelli, F.; Ramponi, A.; Scarlatti, S. | |
| Option-based risk management of a bond portfolio under regime switching interest rates | 1-gen-2013 | Antonelli, Fabio; Ramponi, A; Scarlatti, S. |