4
H index
1
i10 index
49
Citations
Alessandro Ramponi : Citation Profile
Università degli Studi di Roma "Tor Vergata" | RESEARCH PRODUCTION: 12 Articles 8 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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23 years (1998 - 2021). 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:
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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 Probability | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 8 |
Recent works citing Alessandro Ramponi (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834. Full description at Econpapers || Download paper |
| 2023 | On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906. Full description at Econpapers || Download paper |
| 2023 | Extending the Merton model with applications to credit value adjustment. (2023). Sensoy, Ahmet ; Fabozzi, Frank J ; Hekimoglu, Alper A ; Akyildirim, Erdinc. In: Annals of Operations Research. RePEc:spr:annopr:v:326:y:2023:i:1:d:10.1007_s10479-023-05289-3. Full description at Econpapers || Download paper |
| 2023 | Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676. Full description at Econpapers || Download paper |
Works by Alessandro Ramponi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2012 | FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS.(2012) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2012 | Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | 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.(2016) In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2015 | Random Time Forward Starting Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | RANDOM TIME FORWARD-STARTING OPTIONS.(2016) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2018 | CVA and vulnerable options pricing by correlation expansions In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2021 | CVA and vulnerable options pricing by correlation expansions.(2021) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2019 | CVA and vulnerable options in stochastic volatility models In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2021 | CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS.(2021) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2020 | A moment matching method for option pricing under stochastic interest rates In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Approximate XVA for European claims In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | A note on the complex roots of complex random polynomials In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 2 |
| 2010 | Exchange option pricing under stochastic volatility: a correlation expansion In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 18 |
| 2013 | Option-based risk management of a bond portfolio under regime switching interest rates In: Decisions in Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2011 | Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing In: Methodology and Computing in Applied Probability. [Full Text][Citation analysis] | article | 4 |
| 1998 | Stochastic adaptive selection of weights in the simulated tempering algorithm In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
| 2002 | A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
| 2003 | ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 7 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team