The following pages link to Fabio Antonelli (Q198438):
Displaying 26 items.
- Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator (Q311996) (← links)
- Option-based risk management of a bond portfolio under regime switching interest rates (Q354661) (← links)
- Consumption optimization for recursive utility in a jump-diffusion model (Q524899) (← links)
- Asset pricing with endogeneous aspirations (Q698350) (← links)
- Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
- Exchange option pricing under stochastic volatility: a correlation expansion (Q965896) (← links)
- Backward-forward stochastic differential equations (Q1308701) (← links)
- A comparison result for FBSDE with applications to decisions theory (Q1397023) (← links)
- Densities of one-dimensional backward SDEs (Q1773902) (← links)
- Rate of convergence of a particle method to the solution of the McKean-Vlasov equation (Q1872380) (← links)
- Stability of backward stochastic differential equations (Q1915848) (← links)
- On a convergent power series method to price defaultable bonds in a Vašíček-CIR model (Q2113272) (← links)
- Approximate value adjustments for European claims (Q2116937) (← links)
- CVA and vulnerable options pricing by correlation expansions (Q2241073) (← links)
- Existence of the solutions of backward-forward SDE's with continuous monotone coefficients (Q2497820) (← links)
- On the viscosity solutions of a stochastic differential utility problem (Q2694813) (← links)
- CVA in fractional and rough volatility models (Q2700343) (← links)
- RANDOM TIME FORWARD-STARTING OPTIONS (Q2953302) (← links)
- RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL (Q3621565) (← links)
- Weak Solutions of Forward–Backward SDE's (Q4804867) (← links)
- Filtration stability of backward sde's (Q4946977) (← links)
- CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (Q4994443) (← links)
- Calibrated American option pricing by stochastic linear programming (Q5746725) (← links)
- Asset pricing with a forward--backward stochastic differential utility (Q5941377) (← links)
- Wrong way risk corrections to CVA in CIR reduced-form models (Q6060556) (← links)
- Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities (Q6103703) (← links)
