ANTONELLI, FABIO
ANTONELLI, FABIO
Dipartimento di Ingegneria e scienze dell'informazione e matematica
Wrong Way Risk corrections to CVA in CIR reduced-form models
2023-01-01 Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio
CVA in fractional and rough volatility models
2023-01-01 Alòs, Elisa; Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio
Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
2023-01-01 Antonelli, F; D'Ambrosio, R; Gallo, I
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 in STOCHASTIC VOLATILITY MODELS
2021-01-01 Alos, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S.
Analytical modeling of performance indices under epistemic uncertainty applied to cloud computing systems
2020-01-01 Antonelli, Fabio; Cortellessa, Vittorio; Gribaudo, Marco; Pinciroli, Riccardo; Trivedi, Kishor S.; Catiatrubiani,
CVA and vulnerable options pricing by correlation expansions
2019-01-01 Antonelli, F.; Ramponi, A.; Scarlatti, S.
Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
2016-01-01 Antonelli, Fabio; Mancini, Carlo
RANDOM TIME FORWARD-STARTING OPTIONS
2016-01-01 Antonelli, Fabio; Ramponi, A.; Scarlatti, S.
Consumption optimization for recursive utility in a jump-diffusion model
2016-01-01 Antonelli, Fabio; Mancini, Carlo
Option-based risk management of a bond portfolio under regime switching interest rates
2013-01-01 Antonelli, Fabio; Ramponi, A; Scarlatti, S.
Calibrated American option pricing by stochastic linear programming
2013-01-01 Antonelli, Fabio; Mancini, C; Pinar, M. Ç.
Exchange option pricing under stochastic volatility: a correlation expansion
2010-01-01 Antonelli, Fabio; Ramponi, A; Scarlatti, S.
Pricing Options under stochastic volatility: a power series approach
2009-01-01 Antonelli, Fabio; Scarlatti, S.
Rate of convergence of Monte Carlo simulations for the Hobson-Rogers model
2008-01-01 Antonelli, Fabio; Prezioso, V.
Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
2006-01-01 Antonelli, Fabio; Hamadene, S.
Densities of one-dimensional backward SDEs
2005-01-01 Antonelli, Fabio; KOHATSU HIGA, A.
Weak solutions of forward-backward SDE's
2003-01-01 Antonelli, Fabio; Ma, J.