Alessandro Ramponi

Available identifiers

zbMath Open ramponi.alessandroMaRDI QIDQ292379

List of research outcomes

Publication	Date of Publication	Type
Probabilistic and statistical methods in commodity risk management	2024-07-30	Paper
A stochastic model for evaluating the peaks of commodities' returns	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
CVA in fractional and rough volatility models	2023-04-21	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
Stochastic adaptive selection of weights in the simulated tempering algorithm	2020-09-29	Paper
https://portal.mardi4nfdi.de/entity/Q5223126	2019-07-17	Paper
RANDOM TIME FORWARD-STARTING OPTIONS	2017-01-04	Paper
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	2016-06-08	Paper
Option-based risk management of a bond portfolio under regime switching interest rates	2013-07-19	Paper
Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options	2012-10-15	Paper
Mixture dynamics and regime switching diffusions with application to option pricing	2011-05-30	Paper
Exchange option pricing under stochastic volatility: a correlation expansion	2010-04-26	Paper
ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE	2005-10-19	Paper
A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE	2005-06-22	Paper
A new estimation method in modal analysis	2003-09-02	Paper
On the numerical inversion of the Laplace transform for nuclear magnetic resonance relaxometry	2002-10-23	Paper
A note on the complex roots of complex random polynomials	2001-06-21	Paper
Selection of importance weights for monte carlo estimation of normalizing constants	1999-01-01	Paper
Stopping eules for the multistart method when different local minima have different function values	1990-01-01	Paper

Research outcomes over time

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