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 1 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 2 2 7 30
CVA and vulnerable options pricing by correlation expansions 0 0 0 5 2 2 10 40
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach 0 0 0 12 0 0 4 43
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 1 2 14 27
Random Time Forward Starting Options 0 0 0 7 1 1 6 28
Total Working Papers 0 0 1 61 7 8 64 291

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 0 0 1 2 0 0 11 26
CVA and vulnerable options pricing by correlation expansions 1 1 2 3 1 3 25 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 0 0 8 27
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 1 1 10 70
RANDOM TIME FORWARD-STARTING OPTIONS 0 0 0 2 0 1 10 33
Stochastic adaptive selection of weights in the simulated tempering algorithm 0 0 0 3 0 0 6 26
Total Journal Articles 1 1 5 60 2 5 115 435

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Statistics updated 2026-09-10