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 7 0 0 6 25
Approximate XVA for European claims 0 0 0 6 0 0 1 9
CVA and vulnerable options in stochastic volatility models 1 1 1 5 1 2 6 19
CVA and vulnerable options pricing by correlation expansions 0 0 0 5 0 0 0 23
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach 0 0 0 12 0 0 0 38
Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options 0 0 0 9 0 0 7 51
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 0 0 12
Random Time Forward Starting Options 0 0 0 7 0 0 1 19
Total Working Papers 1 1 2 58 1 2 21 196


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 0 7
A note on the complex roots of complex random polynomials 0 0 0 13 0 0 0 50
ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE 0 0 0 0 0 0 1 6
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS 0 0 1 1 0 0 3 9
CVA and vulnerable options pricing by correlation expansions 0 0 0 1 0 0 3 10
Exchange option pricing under stochastic volatility: a correlation expansion 0 0 0 19 0 0 2 85
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS 0 0 1 2 0 0 3 17
Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing 0 0 0 0 0 0 2 2
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 1 2
Option-based risk management of a bond portfolio under regime switching interest rates 0 0 0 11 0 0 1 56
RANDOM TIME FORWARD-STARTING OPTIONS 0 0 0 2 0 0 1 21
Stochastic adaptive selection of weights in the simulated tempering algorithm 0 0 0 3 0 0 0 20
Total Journal Articles 0 0 2 53 0 0 17 285


Statistics updated 2022-11-05