ANTONELLI, FABIO

ANTONELLI, FABIO  

Dipartimento di Ingegneria e scienze dell'informazione e matematica  

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Risultati 1 - 20 di 29 (tempo di esecuzione: 0.029 secondi).
Titolo Data di pubblicazione Autore(i) File
Probabilistic and statistical methods in commodity risk management 1-gen-2023 Antonelli, Fabio; Cerqueti, Roy; Ramponi, Alessandro; Scarlatti, Sergio
Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities 1-gen-2023 Antonelli, F; D'Ambrosio, R; Gallo, I
Wrong Way Risk corrections to CVA in CIR reduced-form models 1-gen-2023 Antonelli, Fabio; 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 in STOCHASTIC VOLATILITY MODELS 1-gen-2021 Alos, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S.
Analytical modeling of performance indices under epistemic uncertainty applied to cloud computing systems 1-gen-2020 Antonelli, Fabio; Cortellessa, Vittorio; Gribaudo, Marco; Pinciroli, Riccardo; Trivedi, Kishor S.; Catiatrubiani,
CVA and vulnerable options pricing by correlation expansions 1-gen-2019 Antonelli, F.; Ramponi, A.; Scarlatti, S.
RANDOM TIME FORWARD-STARTING OPTIONS 1-gen-2016 Antonelli, Fabio; Ramponi, A.; Scarlatti, S.
Consumption optimization for recursive utility in a jump-diffusion model 1-gen-2016 Antonelli, Fabio; Mancini, Carlo
Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator 1-gen-2016 Antonelli, Fabio; Mancini, Carlo
Option-based risk management of a bond portfolio under regime switching interest rates 1-gen-2013 Antonelli, Fabio; Ramponi, A; Scarlatti, S.
Calibrated American option pricing by stochastic linear programming 1-gen-2013 Antonelli, Fabio; Mancini, C; Pinar, M. Ç.
Exchange option pricing under stochastic volatility: a correlation expansion 1-gen-2010 Antonelli, Fabio; Ramponi, A; Scarlatti, S.
Pricing Options under stochastic volatility: a power series approach 1-gen-2009 Antonelli, Fabio; Scarlatti, S.
Rate of convergence of Monte Carlo simulations for the Hobson-Rogers model 1-gen-2008 Antonelli, Fabio; Prezioso, V.
Existence of the solutions of backward-forward SDE's with continuous monotone coefficients 1-gen-2006 Antonelli, Fabio; Hamadene, S.
Densities of one-dimensional backward SDEs 1-gen-2005 Antonelli, Fabio; KOHATSU HIGA, A.