Alessandro Ramponi

Available identifiers

zbMath Open ramponi.alessandroMaRDI QIDQ292379

List of research outcomes

Publication	Date of Publication	Type
Wrong way risk corrections to CVA in CIR reduced-form models	2023-11-03	Paper
CVA in fractional and rough volatility models	2023-04-21	Paper
Approximate value adjustments for European claims	2022-03-18	Paper
On a convergent power series method to price defaultable bonds in a Vašíček-CIR model	2022-03-11	Paper
CVA and vulnerable options pricing by correlation expansions	2021-11-08	Paper
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS	2021-06-18	Paper
Stochastic adaptive selection of weights in the simulated tempering algorithm	2020-09-29	Paper
https://portal.mardi4nfdi.de/entity/Q5223126	2019-07-17	Paper
RANDOM TIME FORWARD-STARTING OPTIONS	2017-01-04	Paper
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	2016-06-08	Paper
Option-based risk management of a bond portfolio under regime switching interest rates	2013-07-19	Paper
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS	2012-10-15	Paper
Mixture dynamics and regime switching diffusions with application to option pricing	2011-05-30	Paper
Exchange option pricing under stochastic volatility: a correlation expansion	2010-04-26	Paper
ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE	2005-10-19	Paper
A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE	2005-06-22	Paper
A new estimation method in modal analysis	2003-09-02	Paper
On the numerical inversion of the Laplace transform for nuclear magnetic resonance relaxometry	2002-10-23	Paper
A note on the complex roots of complex random polynomials	2001-06-21	Paper
Selection of importance weights for monte carlo estimation of normalizing constants	1999-01-01	Paper
Stopping eules for the multistart method when different local minima have different function values	1990-01-01	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Alessandro Ramponi