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.
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- Methodology & Computing in Applied Probability, 2016, v. 18, n. 2, p. 575, doi. 10.1007/s11009-015-9446-7
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- Article
Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing.
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- Methodology & Computing in Applied Probability, 2011, v. 13, n. 2, p. 349, doi. 10.1007/s11009-009-9155-1
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- Article
Optimal Social and Vaccination Control in the SVIR Epidemic Model.
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- Mathematics (2227-7390), 2024, v. 12, n. 7, p. 933, doi. 10.3390/math12070933
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- Article
Spread Option Pricing in Regime-Switching Jump Diffusion Models.
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- Mathematics (2227-7390), 2022, v. 10, n. 9, p. 1574, doi. 10.3390/math10091574
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- Article
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 5, p. -1, doi. 10.1142/S0219024912500379
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- Article
Fintech meets Industry 4.0: a systematic literature review of recent developments and future trends.
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- Technology Analysis & Strategic Management, 2024, v. 36, n. 8, p. 1911, doi. 10.1080/09537325.2022.2117025
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- Article
Wrong Way Risk corrections to CVA in CIR reduced-form models.
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- Computational Management Science, 2023, v. 20, n. 1, p. 1, doi. 10.1007/s10287-023-00480-0
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Probabilistic and statistical methods in commodity risk management.
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- Applied Stochastic Models in Business & Industry, 2024, v. 40, n. 2, p. 220, doi. 10.1002/asmb.2841
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A stochastic model for evaluating the peaks of commodities' returns.
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- Applied Stochastic Models in Business & Industry, 2024, v. 40, n. 2, p. 331, doi. 10.1002/asmb.2790
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A moment matching method for option pricing under stochastic interest rates.
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- Applied Stochastic Models in Business & Industry, 2021, v. 37, n. 4, p. 802, doi. 10.1002/asmb.2624
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- Article
Adaptive and Monotone Spline Estimation of the Cross-Sectional Term Structure.
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- International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 2, p. 195, doi. 10.1142/S0219024903001840
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A Review of Techniques for the Estimation of The Term Structure.
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- International Journal of Theoretical & Applied Finance, 2002, v. 5, n. 2, p. 189, doi. 10.1142/S0219024902001419
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- Article