Alessandro Ramponi

Dept. Economics and Finance, University of Rome Tor Vergata

Via Columbia, 2

Rome, Lazio 00133

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

347

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

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
Dept. Economics and Finance, University of Rome Tor Vergata, Sapienza University of Rome and University of Rome Tor Vergata
Downloads 123 (341,823)

Abstract:

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

2.

Random Time Forward Starting Options

Number of pages: 19 Posted: 01 Apr 2015
Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti
Sapienza University of Rome, Dept. Economics and Finance, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 81 (450,455)
Citation 2

Abstract:

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Random times, forward-starting options, CVA

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, Sapienza University of Rome, Dept. Economics and Finance, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 55 (550,854)
Citation 2

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
Sapienza University of Rome, Dept. Economics and Finance, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 38 (639,141)

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

5.

On a convergent power series method to price defaultable bonds in a Vasicek-CIR model

Number of pages: 19 Posted: 01 Apr 2021
Fabio Antonelli, Alessandro Ramponi and Sergio Scarlatti
Sapienza University of Rome, Dept. Economics and Finance, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 35 (657,561)

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Credit Risk, Defaultable Bond Pricing, Non-Affine Models, Analytical Functions, Hazard Process, Change of Numéraire, Monte-Carlo Methods.

6.

The Economic Cost of Social Distancing During a Pandemic: An Optimal Control Approach in the SVIR Model

Number of pages: 28 Posted: 30 Aug 2022
Alessandro Ramponi and Maria Elisabetta Tessitore
Dept. Economics and Finance, University of Rome Tor Vergata and University of Rome Tor Vergata
Downloads 15 (813,091)

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optimal control, social distancing, SVIR Epidemic Model, Pontryagin’s maximum principle