Access Statistics for Alessandro Ramponi

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	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	1	8	0	0	1	31
Approximate XVA for European claims	0	0	0	6	0	1	3	13
CVA and vulnerable options in stochastic volatility models	0	0	0	5	0	0	1	23
CVA and vulnerable options pricing by correlation expansions	0	0	0	5	1	2	4	32
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach	0	0	0	12	1	1	2	40
Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options	0	0	0	10	0	1	2	58
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	1	1	2	14
Random Time Forward Starting Options	0	0	0	7	0	1	2	23
Total Working Papers	0	0	1	60	3	7	17	234

Journal Article	File Downloads				Abstract Views
Journal Article	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	0	8
A note on the complex roots of complex random polynomials	0	0	0	13	0	0	0	51
ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE	0	0	0	0	0	0	2	8
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS	0	0	0	1	0	0	4	15
CVA and vulnerable options pricing by correlation expansions	1	1	1	2	5	6	6	23
Exchange option pricing under stochastic volatility: a correlation expansion	0	1	1	20	2	3	5	93
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS	0	0	0	2	1	2	2	21
Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing	1	1	1	2	1	2	4	7
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	1	2	5
Option-based risk management of a bond portfolio under regime switching interest rates	0	0	0	12	1	3	4	63
RANDOM TIME FORWARD-STARTING OPTIONS	0	0	0	2	3	3	4	26
Stochastic adaptive selection of weights in the simulated tempering algorithm	0	0	0	3	0	0	0	20
Total Journal Articles	2	3	3	58	13	20	33	340

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Statistics updated 2025-12-06