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Alessandro Ramponi

Identifiers

  • name variant Alessandro Ramponi 0.60 · backfill

Papers (6)

  1. CVA and vulnerable options pricing by correlation expansions q-fin.CP · 2018 · author #2
  2. Random Time Forward Starting Options q-fin.PR · 2015 · author #2
  3. On a Transform Method for the Efficient Computation of Conditional VaR (and VaR) with Application to Loss Models with Jumps and Stochastic Volatility q-fin.RM · 2014 · author #1
  4. Computing Quantiles in Regime-Switching Jump-Diffusions with Application to Optimal Risk Management: a Fourier Transform Approach q-fin.RM · 2012 · author #1
  5. Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options q-fin.CP · 2011 · author #1
  6. A critical review of techniques for Term Structure analysis cond-mat · 2000 · author #2

Mentions

  • 1504.03552 #2 · backfill · confidence 0.70 Alessandro Ramponi
  • 1407.1072 #1 · backfill · confidence 0.70 Alessandro Ramponi
  • 1207.6759 #1 · backfill · confidence 0.70 Alessandro Ramponi
  • 1105.4567 #1 · backfill · confidence 0.70 Alessandro Ramponi

Frequent Coauthors