Alessandro Ramponi

Tor Vergata University of Rome

Via Columbia, 2

Rome, Lazio 00133

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

131

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

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 52 (434,826)
Citation 2

Abstract:

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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 34 (511,501)

Abstract:

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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 (521,681)
Citation 1

Abstract:

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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 (641,780)

Abstract:

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