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Fabio Antonelli

affiliation not provided to SSRN

  • affiliation not provided to SSRN

SCHOLARLY PAPERS

3

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145

TOTAL CITATIONS

0

Scholarly Papers (3)

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1.

On the Representation of Option Prices with Stochastic Interest Rates

Number of pages: 16 Posted: 11 Nov 2025
Alessandro Ramponi and Fabio Antonelli
Dept. Economics and Finance, University of Rome Tor Vergata and affiliation not provided to SSRN
Downloads 65 (933,592)

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Option pricing, Interest rate models, Affine processes

2.

On Optimal Portfolio Choice in Longevity Bonds Under Ambiguity

Number of pages: 34 Posted: 01 Jul 2025
Ivan Gallo, Fabio Antonelli and Giorgio Ferrari
Alma Mater Studiorum University of Bologna, affiliation not provided to SSRN and Bielefeld University - Center for Mathematical Economics
Downloads 48 (1,086,013)

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Optimal Control, Longevity risk, Knightian uncertainty, Hamilton-Jacobi-Bellman equation

3.

Non-Linear Approximated Value Adjustments for Derivatives Under Multiple Risk Factors

Number of pages: 20 Posted: 02 Aug 2022
Ivan Gallo, Fabio Antonelli and Raffaele D’Ambrosio
Alma Mater Studiorum University of Bologna, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 32 (1,304,549)

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XVA, Value adjustments, Backward Stochastic Differential Equation, Nonlinear valuation, Credit risk, Defaultable Claims.