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	1	2	4	14
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	0	2	4	32
Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach	0	0	0	12	0	1	2	40
Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options	0	0	0	10	2	3	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	2	3	4	16
Random Time Forward Starting Options	0	0	0	7	0	1	2	23
Total Working Papers	0	0	1	60	5	12	22	239

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	2	2	4	10
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS	0	0	0	1	0	0	3	15
CVA and vulnerable options pricing by correlation expansions	0	1	1	2	0	5	6	23
Exchange option pricing under stochastic volatility: a correlation expansion	0	1	1	20	3	6	8	96
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS	0	0	0	2	1	3	3	22
Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing	0	1	1	2	3	5	6	10
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	2	3	4	7
Option-based risk management of a bond portfolio under regime switching interest rates	0	0	0	12	0	3	4	63
RANDOM TIME FORWARD-STARTING OPTIONS	0	0	0	2	0	3	4	26
Stochastic adaptive selection of weights in the simulated tempering algorithm	0	0	0	3	3	3	3	23
Total Journal Articles	0	3	3	58	14	33	45	354

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Statistics updated 2026-01-09