Via di Tor Vergata
Rome, Lazio 00133
Italy
University of Rome Tor Vergata
Option pricing, Stochastic interest rates, Moment matching, Non-affine models, Cox-Ingersoll-Ross model
Random times, forward-starting options, CVA
Credit Value Adjustment, Vulnerable Options, Stochastic volatility model, Intensity approach
Credit Value Adjustment, Defaultable Claims, Counterparty Credit Risk, Wrong Way Risk, XVA; Affine Processes
Credit Risk, Defaultable Bond Pricing, Non-Affine Models, Analytical Functions, Hazard Process, Change of Numéraire, Monte-Carlo Methods.