Alessandro Ramponi : Citation Profile


Are you Alessandro Ramponi?

Università degli Studi di Roma "Tor Vergata"

3

H index

1

i10 index

29

Citations

RESEARCH PRODUCTION:

12

Articles

8

Papers

RESEARCH ACTIVITY:

   23 years (1998 - 2021). See details.
   Cites by year: 1
   Journals where Alessandro Ramponi has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 4 (12.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra1170
   Updated: 2022-09-24    RAS profile: 2022-03-10    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Alessandro Ramponi.

Is cited by:

Wang, Xingchun (1)

Ferrari, Giorgio (1)

Wöckl, Ines (1)

Fischer, Edwin (1)

Cites to:

Brigo, Damiano (11)

Vrins, Frédéric (9)

Chen, Zhiwu (7)

Cao, Charles (7)

Heyman, Dries (6)

Singleton, Kenneth (5)

Duffie, Darrell (5)

Hamilton, James (4)

pan, jun (3)

Yakovenko, Victor (3)

White, Alan (3)

Main data


Where Alessandro Ramponi has published?


Journals with more than one article published# docs
International Journal of Theoretical and Applied Finance (IJTAF)5
Methodology and Computing in Applied Probability2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8

Recent works citing Alessandro Ramponi (2022 and 2021)


YearTitle of citing document
2021Closed-form expansions with respect to the mixing solution for option pricing under stochastic volatility. (2019). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:1812.07803.

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2021A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics. (2021). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2106.07362.

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2022CVA in fractional and rough volatility models. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Papers. RePEc:arx:papers:2204.11554.

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2022Pricing basket spread options with default risk under Heston–Nandi GARCH models. (2022). Wang, Xingchun ; Zhang, Han. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001960.

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2022Pricing of vulnerable exchange options with early counterparty credit risk. (2022). Yoon, Ji-Hun ; Kim, Geonwoo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002187.

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2022.

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2022Valuing fade-in options with default risk in Heston–Nandi GARCH models. (2022). Wang, Xingchun. In: Review of Derivatives Research. RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09179-3.

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Works by Alessandro Ramponi:


YearTitleTypeCited
2011Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options In: Papers.
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2012FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 2
article
2012Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach In: Papers.
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2014On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility In: Papers.
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2016On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility.(2016) In: Methodology and Computing in Applied Probability.
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This paper has another version. Agregated cites: 0
article
2015Random Time Forward Starting Options In: Papers.
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2016RANDOM TIME FORWARD-STARTING OPTIONS.(2016) In: International Journal of Theoretical and Applied Finance (IJTAF).
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article
2018CVA and vulnerable options pricing by correlation expansions In: Papers.
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2021CVA and vulnerable options pricing by correlation expansions.(2021) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 1
article
2019CVA and vulnerable options in stochastic volatility models In: Papers.
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2021CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS.(2021) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has another version. Agregated cites: 4
article
2020A moment matching method for option pricing under stochastic interest rates In: Papers.
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2020Approximate XVA for European claims In: Papers.
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1999A note on the complex roots of complex random polynomials In: Statistics & Probability Letters.
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article2
2010Exchange option pricing under stochastic volatility: a correlation expansion In: Review of Derivatives Research.
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2013Option-based risk management of a bond portfolio under regime switching interest rates In: Decisions in Economics and Finance.
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2011Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing In: Methodology and Computing in Applied Probability.
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1998Stochastic adaptive selection of weights in the simulated tempering algorithm In: Statistical Methods & Applications.
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article0
2002A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE In: International Journal of Theoretical and Applied Finance (IJTAF).
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article1
2003ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

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