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 1 8 1 2 7 37
Approximate XVA for European claims 0 0 0 6 5 5 8 19
CVA and vulnerable options in stochastic volatility models 1 1 1 6 2 2 6 28
CVA and vulnerable options pricing by correlation expansions 0 0 0 5 1 5 8 38
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach 0 0 0 12 1 1 4 43
Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options 0 0 0 10 4 5 8 65
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 2 5 11 24
Random Time Forward Starting Options 0 0 0 7 1 3 5 26
Total Working Papers 1 1 2 61 17 28 57 280

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 1 1 3 11
A note on the complex roots of complex random polynomials 0 0 0 13 1 1 1 52
ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE 0 0 0 0 1 2 9 15
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS 1 1 1 2 6 9 11 25
CVA and vulnerable options pricing by correlation expansions 0 0 1 2 2 3 20 37
Exchange option pricing under stochastic volatility: a correlation expansion 0 0 1 20 0 0 17 106
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS 0 0 0 2 2 4 8 27
Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing 0 0 1 2 1 2 10 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 3 3 6 10
Option-based risk management of a bond portfolio under regime switching interest rates 0 0 0 12 1 3 9 69
RANDOM TIME FORWARD-STARTING OPTIONS 0 0 0 2 1 1 10 32
Stochastic adaptive selection of weights in the simulated tempering algorithm 0 0 0 3 2 3 6 26
Total Journal Articles 1 1 4 59 21 32 110 424

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Statistics updated 2026-05-06