ANTONELLI, FABIO
ANTONELLI, FABIO
Dipartimento di Ingegneria e scienze dell'informazione e matematica
Backward Forward Stochastic Differential Equations
1993-01-01 Antonelli, Fabio
Stability of Backward SDE's
1996-01-01 Antonelli, Fabio
Filtration Stability of BSDE's
2000-01-01 Antonelli, Fabio; KOHATSU HIGA, A.
Asset pricing with endogenous aspirations
2001-01-01 Antonelli, Fabio; Barucci, E; Mancino, M. E.
Asset pricing with a forward-backward stochastic differential utility
2001-01-01 Antonelli, Fabio; Barucci, E; Mancino, M. E.
On the viscosity solutions of a stochastic differential utility problem
2002-01-01 Antonelli, Fabio; Pascucci, A.
Rate of Convergence to the Solution of the McKean-Vlasov's Equation
2002-01-01 Antonelli, Fabio; KOHATSU HIGA, A.
A Comparison result for BFSDE's and Applications to Utility Theory
2002-01-01 Antonelli, Fabio; Barucci, E.; Mancino, M. E.
Weak solutions of forward-backward SDE's
2003-01-01 Antonelli, Fabio; Ma, J.
Densities of one-dimensional backward SDEs
2005-01-01 Antonelli, Fabio; KOHATSU HIGA, A.
Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
2006-01-01 Antonelli, Fabio; Hamadene, S.
Rate of convergence of Monte Carlo simulations for the Hobson-Rogers model
2008-01-01 Antonelli, Fabio; Prezioso, V.
Pricing Options under stochastic volatility: a power series approach
2009-01-01 Antonelli, Fabio; Scarlatti, S.
Exchange option pricing under stochastic volatility: a correlation expansion
2010-01-01 Antonelli, Fabio; 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.
Calibrated American option pricing by stochastic linear programming
2013-01-01 Antonelli, Fabio; Mancini, C; Pinar, M. Ç.
Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
2016-01-01 Antonelli, Fabio; Mancini, Carlo
Consumption optimization for recursive utility in a jump-diffusion model
2016-01-01 Antonelli, Fabio; Mancini, Carlo
RANDOM TIME FORWARD-STARTING OPTIONS
2016-01-01 Antonelli, Fabio; Ramponi, A.; Scarlatti, S.
CVA and vulnerable options pricing by correlation expansions
2019-01-01 Antonelli, F.; Ramponi, A.; Scarlatti, S.