4
H index
1
i10 index
59
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 (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework. (2025). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542. Full description at Econpapers || Download paper |
| 2025 | Pricing options on the maximum or the minimum of several assets with default risk. (2025). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001979. Full description at Econpapers || Download paper |
| 2025 | A closed-form formula for pricing exchange options with regime switching stochastic volatility and stochastic liquidity. (2025). Lin, Sha ; Wei, Wenting ; He, Xin-Jiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002467. Full description at Econpapers || Download paper |
| 2024 | On the Optimal Choice of Strike Conventions in Exchange Option Pricing. (2024). Coulon, Michael ; Alos, Elisa. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:19:p:3028-:d:1487780. Full description at Econpapers || Download paper |
| 2025 | Valuing Vulnerable Basket Options with Stochastic Liquidity Risk in Reduced-form Models. (2025). Wang, Xingchun ; Zhao, Meng Jie. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10794-z. Full description at Econpapers || Download paper |
| 2025 | Optimal portfolios with anticipating information on the stochastic interest rate. (2025). Dauria, Bernardo ; Salmeron, Jos A. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00463-z. 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 | 9 |
| 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: 9 | article | |
| 2019 | CVA and vulnerable options in stochastic volatility models In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 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: 7 | 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 | 22 |
| 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 | 2 |
| 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. Last updated December, 22 2025. Contact: CitEc Team