Works matching AU Ramponi, Alessandro

Results: 12

On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility.

Published in:

Methodology & Computing in Applied Probability, 2016, v. 18, n. 2, p. 575, doi. 10.1007/s11009-015-9446-7

By:

Ramponi, Alessandro

Publication type:

Article

Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing.

Published in:

Methodology & Computing in Applied Probability, 2011, v. 13, n. 2, p. 349, doi. 10.1007/s11009-009-9155-1

By:

Ramponi, Alessandro

Publication type:

Article

Spread Option Pricing in Regime-Switching Jump Diffusion Models.

Published in:

Mathematics (2227-7390), 2022, v. 10, n. 9, p. 1574, doi. 10.3390/math10091574

By:

Ramponi, Alessandro

Publication type:

Article

Probabilistic and statistical methods in commodity risk management.

Published in:

Applied Stochastic Models in Business & Industry, 2024, v. 40, n. 2, p. 220, doi. 10.1002/asmb.2841

By:

Antonelli, Fabio;
Cerqueti, Roy;
Ramponi, Alessandro;
Scarlatti, Sergio

Publication type:

Article

A stochastic model for evaluating the peaks of commodities' returns.

Published in:

Applied Stochastic Models in Business & Industry, 2024, v. 40, n. 2, p. 331, doi. 10.1002/asmb.2790

By:

Cerqueti, Roy;
Mattera, Raffaele;
Ramponi, Alessandro

Publication type:

Article

A moment matching method for option pricing under stochastic interest rates.

Published in:

Applied Stochastic Models in Business & Industry, 2021, v. 37, n. 4, p. 802, doi. 10.1002/asmb.2624

By:

Antonelli, Fabio;
Ramponi, Alessandro;
Scarlatti, Sergio

Publication type:

Article

Optimal Social and Vaccination Control in the SVIR Epidemic Model.

Published in:

Mathematics (2227-7390), 2024, v. 12, n. 7, p. 933, doi. 10.3390/math12070933

By:

Ramponi, Alessandro;
Tessitore, Maria Elisabetta

Publication type:

Article

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS.

Published in:

International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 5, p. -1, doi. 10.1142/S0219024912500379

By:

RAMPONI, ALESSANDRO

Publication type:

Article

Adaptive and Monotone Spline Estimation of the Cross-Sectional Term Structure.

Published in:

International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 2, p. 195, doi. 10.1142/S0219024903001840

By:

Ramponi, Alessandro

Publication type:

Article

A Review of Techniques for the Estimation of The Term Structure.

Published in:

International Journal of Theoretical & Applied Finance, 2002, v. 5, n. 2, p. 189, doi. 10.1142/S0219024902001419

By:

Marangio, Livio;
Massimo, Massimo;
Ramponi, Alessandro

Publication type:

Article

Wrong Way Risk corrections to CVA in CIR reduced-form models.

Published in:

Computational Management Science, 2023, v. 20, n. 1, p. 1, doi. 10.1007/s10287-023-00480-0

By:

Antonelli, Fabio;
Ramponi, Alessandro;
Scarlatti, Sergio

Publication type:

Article

Fintech meets Industry 4.0: a systematic literature review of recent developments and future trends.

Published in:

Technology Analysis & Strategic Management, 2024, v. 36, n. 8, p. 1911, doi. 10.1080/09537325.2022.2117025

By:

Ferraro, Giovanna;
Ramponi, Alessandro;
Scarlatti, Sergio

Publication type:

Article