Access Statistics for Alessandro Ramponi

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A moment matching method for option pricing under stochastic interest rates 0 0 0 8 0 1 7 38
Approximate XVA for European claims 0 0 0 6 0 0 7 19
CVA and vulnerable options in stochastic volatility models 0 0 1 6 1 3 8 31
CVA and vulnerable options pricing by correlation expansions 0 0 0 5 0 2 10 40
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach 0 0 0 12 1 1 5 44
Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options 0 0 0 10 0 0 9 66
On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility 0 0 0 7 0 1 14 27
Random Time Forward Starting Options 0 0 0 7 0 1 6 28
Total Working Papers 0 0 1 61 2 9 66 293

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE 0 0 0 1 0 0 4 12
A note on the complex roots of complex random polynomials 0 0 0 13 0 0 1 52
ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE 0 0 0 0 0 0 8 16
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS 1 1 2 3 2 2 13 28
CVA and vulnerable options pricing by correlation expansions 0 1 2 3 0 2 24 42
Exchange option pricing under stochastic volatility: a correlation expansion 0 0 1 20 0 0 16 106
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS 0 0 0 2 1 1 9 28
Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing 0 0 1 2 0 0 9 14
On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility 0 0 0 0 0 0 7 11
Option-based risk management of a bond portfolio under regime switching interest rates 0 0 0 12 0 1 10 70
RANDOM TIME FORWARD-STARTING OPTIONS 0 0 0 2 1 2 11 34
Stochastic adaptive selection of weights in the simulated tempering algorithm 0 0 0 3 1 1 7 27
Total Journal Articles 1 2 6 61 5 9 119 440

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Statistics updated 2026-10-11