Details about Alessandro Ramponi

Access statistics for papers by Alessandro Ramponi.

Last updated 2022-03-10. Update your information in the RePEc Author Service.

Short-id: pra1170

Working Papers

2020

1. A moment matching method for option pricing under stochastic interest rates
   Papers, arXiv.org
2. Approximate XVA for European claims
   Papers, arXiv.org

2019

3. CVA and vulnerable options in stochastic volatility models
   Papers, arXiv.org
   See also Journal Article CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2021) View citations (5) (2021)

2018

4. CVA and vulnerable options pricing by correlation expansions
   Papers, arXiv.org
   See also Journal Article CVA and vulnerable options pricing by correlation expansions, Annals of Operations Research, Springer (2021) View citations (6) (2021)

2015

5. Random Time Forward Starting Options
   Papers, arXiv.org
   See also Journal Article RANDOM TIME FORWARD-STARTING OPTIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2016) View citations (4) (2016)

2014

6. On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility
   Papers, arXiv.org
   See also Journal Article 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, Methodology and Computing in Applied Probability, Springer (2016) (2016)

2012

7. Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach
   Papers, arXiv.org

2011

8. Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options
   Papers, arXiv.org View citations (4)
   See also Journal Article FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2012) View citations (7) (2012)

Journal Articles

2021

1. CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS
   International Journal of Theoretical and Applied Finance (IJTAF), 2021, 24, (02), 1-34 View citations (5)
   See also Working Paper CVA and vulnerable options in stochastic volatility models, Papers (2019) (2019)
2. CVA and vulnerable options pricing by correlation expansions
   Annals of Operations Research, 2021, 299, (1), 401-427 View citations (6)
   See also Working Paper CVA and vulnerable options pricing by correlation expansions, Papers (2018) (2018)

2016

3. 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
   Methodology and Computing in Applied Probability, 2016, 18, (2), 575-596
   See also Working Paper On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility, Papers (2014) (2014)
4. RANDOM TIME FORWARD-STARTING OPTIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (08), 1-25 View citations (4)
   See also Working Paper Random Time Forward Starting Options, Papers (2015) (2015)

2013

5. Option-based risk management of a bond portfolio under regime switching interest rates
   Decisions in Economics and Finance, 2013, 36, (1), 47-70 View citations (2)

2012

6. FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
   International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (05), 1-26 View citations (7)
   See also Working Paper Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options, Papers (2011) View citations (4) (2011)

2011

7. Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing
   Methodology and Computing in Applied Probability, 2011, 13, (2), 349-368 View citations (4)

2010

8. Exchange option pricing under stochastic volatility: a correlation expansion
   Review of Derivatives Research, 2010, 13, (1), 45-73 View citations (22)

2003

9. ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
   International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (02), 195-212 View citations (7)

2002

10. A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (02), 189-221 View citations (2)

1999

11. A note on the complex roots of complex random polynomials
    Statistics & Probability Letters, 1999, 44, (2), 181-187 View citations (2)

1998

12. Stochastic adaptive selection of weights in the simulated tempering algorithm
    Statistical Methods & Applications, 1998, 7, (1), 27-55