Fabio Antonelli

Available identifiers

zbMath Open antonelli.fabioMaRDI QIDQ198438

List of research outcomes

Publication	Date of Publication	Type
Probabilistic and statistical methods in commodity risk management	2024-07-30	Paper
A moment matching method for option pricing under stochastic interest rates	2024-07-25	Paper
Wrong way risk corrections to CVA in CIR reduced-form models	2023-11-03	Paper
Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities	2023-06-05	Paper
CVA in fractional and rough volatility models	2023-04-21	Paper
On the viscosity solutions of a stochastic differential utility problem	2023-04-04	Paper
Approximate value adjustments for European claims	2022-03-18	Paper
On a convergent power series method to price defaultable bonds in a Vašíček-CIR model	2022-03-11	Paper
CVA and vulnerable options pricing by correlation expansions	2021-11-08	Paper
CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS	2021-06-18	Paper
Consumption optimization for recursive utility in a jump-diffusion model	2017-04-27	Paper
RANDOM TIME FORWARD-STARTING OPTIONS	2017-01-04	Paper
Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator	2016-09-13	Paper
Calibrated American option pricing by stochastic linear programming	2014-02-07	Paper
Option-based risk management of a bond portfolio under regime switching interest rates	2013-07-19	Paper
Exchange option pricing under stochastic volatility: a correlation expansion	2010-04-26	Paper
Pricing options under stochastic volatility: a power series approach	2010-04-22	Paper
RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL	2009-04-21	Paper
Existence of the solutions of backward-forward SDE's with continuous monotone coefficients	2006-08-04	Paper
Densities of one-dimensional backward SDEs	2005-04-28	Paper
A comparison result for FBSDE with applications to decisions theory	2003-07-16	Paper
Rate of convergence of a particle method to the solution of the McKean-Vlasov equation	2003-05-06	Paper
Weak Solutions of Forward–Backward SDE's	2003-04-28	Paper
Asset pricing with endogeneous aspirations	2002-10-21	Paper
Asset pricing with a forward--backward stochastic differential utility	2001-08-20	Paper
Filtration stability of backward sde's	2000-03-23	Paper
Stability of backward stochastic differential equations	1996-12-08	Paper
Backward-forward stochastic differential equations	1994-01-30	Paper

Research outcomes over time

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