Sergio Scarlatti

University of Rome Tor Vergata

Via di Tor Vergata

Rome, Lazio 00133

Italy

  • University of Rome Tor Vergata

SCHOLARLY PAPERS

4

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129

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2

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Scholarly Papers (4)

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1.

Random Time Forward Starting Options

Number of pages: 19 Posted: 01 Apr 2015
Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti
University of Rome I, Tor Vergata University of Rome and University of Rome Tor Vergata
Downloads 51 (437,467)
Citation 2

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Random times, forward-starting options, CVA

2.

A Moment Matching Method for Option Pricing under Stochastic Interest Rates

Number of pages: 19 Posted: 22 Jun 2020
Alessandro Ramponi, Fabio Antonelli and Sergio Scarlatti
Tor Vergata University of Rome, University of Rome I and University of Rome Tor Vergata
Downloads 33 (515,306)

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Option pricing, Stochastic interest rates, Moment matching, Non-affine models, Cox-Ingersoll-Ross model

3.

CVA and Vulnerable Options in Stochastic Volatility Models

Number of pages: 33 Posted: 02 Aug 2019
Elisa Alos, Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti
University of Pompeu Fabra - Department of Economics, University of Rome I, Tor Vergata University of Rome and University of Rome Tor Vergata
Downloads 32 (520,470)

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Credit Value Adjustment, Vulnerable Options, Stochastic volatility model, Intensity approach

4.

Approximate XVA for European Claims

Number of pages: 24 Posted: 17 Aug 2020
Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti
University of Rome I, Tor Vergata University of Rome and University of Rome Tor Vergata
Downloads 13 (640,299)

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Credit Value Adjustment, Defaultable Claims, Counterparty Credit Risk, Wrong Way Risk, XVA; Affine Processes