4
H index
1
i10 index
51
Citations
Università degli Studi di Roma "Tor Vergata" | 4 H index 1 i10 index 51 Citations RESEARCH PRODUCTION: 12 Articles 8 Papers RESEARCH ACTIVITY:
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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: | Cites to: |
Journals with more than one article published | # docs |
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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 |
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Papers / arXiv.org | 8 |
Year | Title of citing document |
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2024 | Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542. Full description at Econpapers || Download paper |
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 | Evaluation of sight deposits and central bank digital currency. (2023). Barucci, Emilio ; Azzone, Michele. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001099. 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 |
Year | Title | Type | Cited |
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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 | 19 |
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 | 1 |
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 |
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