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Details about Alessandro Ramponi

Workplace:Dipartimento di Economia e Finanza (Department of Economics and Finance), Facoltà di Economia (Faculty of Economics), Università degli Studi di Roma "Tor Vergata" (Tor Vergata University of Rome), (more information at EDIRC)

Access statistics for papers by Alessandro Ramponi.

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

Short-id: pra1170


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Working Papers

2020

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

2019

  1. CVA and vulnerable options in stochastic volatility models
    Papers, arXiv.org Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2021)

2018

  1. CVA and vulnerable options pricing by correlation expansions
    Papers, arXiv.org Downloads
    See also Journal Article in Annals of Operations Research (2021)

2015

  1. Random Time Forward Starting Options
    Papers, arXiv.org Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2016)

2014

  1. 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 Downloads
    See also Journal Article in Methodology and Computing in Applied Probability (2016)

2012

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

2011

  1. Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (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 Downloads View citations (4)
    See also Working Paper (2019)
  2. CVA and vulnerable options pricing by correlation expansions
    Annals of Operations Research, 2021, 299, (1), 401-427 Downloads View citations (4)
    See also Working Paper (2018)

2016

  1. 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 Downloads
    See also Working Paper (2014)
  2. RANDOM TIME FORWARD-STARTING OPTIONS
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (08), 1-25 Downloads View citations (4)
    See also Working Paper (2015)

2013

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

2012

  1. 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 Downloads View citations (7)
    See also Working Paper (2011)

2011

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

2010

  1. Exchange option pricing under stochastic volatility: a correlation expansion
    Review of Derivatives Research, 2010, 13, (1), 45-73 Downloads View citations (19)

2003

  1. ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2003, 06, (02), 195-212 Downloads View citations (4)

2002

  1. A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
    International Journal of Theoretical and Applied Finance (IJTAF), 2002, 05, (02), 189-221 Downloads View citations (1)

1999

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

1998

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