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 0 4 5 35
Approximate XVA for European claims 0 0 0 6 0 1 3 14
CVA and vulnerable options in stochastic volatility models 0 0 0 5 0 3 4 26
CVA and vulnerable options pricing by correlation expansions 0 0 0 5 3 4 8 36
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach 0 0 0 12 0 2 3 42
Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options 0 0 0 10 0 2 4 60
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 6 7 20
Random Time Forward Starting Options 0 0 0 7 0 0 2 23
Total Working Papers 0 0 1 60 4 22 36 256

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 2 2 10
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 1 6 8 14
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS 0 0 0 1 0 1 3 16
CVA and vulnerable options pricing by correlation expansions 0 0 1 2 1 12 18 35
Exchange option pricing under stochastic volatility: a correlation expansion 0 0 1 20 0 13 17 106
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS 0 0 0 2 1 3 5 24
Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing 0 0 1 2 1 6 9 13
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 2 3 7
Option-based risk management of a bond portfolio under regime switching interest rates 0 0 0 12 0 3 7 66
RANDOM TIME FORWARD-STARTING OPTIONS 0 0 0 2 0 5 9 31
Stochastic adaptive selection of weights in the simulated tempering algorithm 0 0 0 3 0 3 3 23
Total Journal Articles 0 0 3 58 4 56 84 396

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Statistics updated 2026-03-04