Sergio Scarlatti

University of Rome Tor Vergata

Via di Tor Vergata

Rome, Lazio 00133

Italy

SCHOLARLY PAPERS

2

DOWNLOADS

56

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

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, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 44 (413,180)
Citation 1

Abstract:

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Random times, forward-starting options, CVA

2.

CVA and Vulnerable Options in Stochastic Volatility Models

Number of pages: 33 Posted: 02 Aug 2019
University of Pompeu Fabra - Department of Economics, University of Rome I, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 12 (575,218)

Abstract:

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