Spread Option Pricing in Regime-Switching Jump Diffusion Models von Ramponi, Alessandro

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Optimal Social and Vaccination Control in the SVIR Epidemic Model von Ramponi, Alessandro, Tessitore, Maria Elisabetta

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Approximate value adjustments for European claims von Antonelli, Fabio, Ramponi, Alessandro, Scarlatti, Sergio

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A compartmental model for the dynamic simulation of pandemics with a multi-phase vaccination and its application to Italian COVID-19 data von Cerqueti, Roy, Ramponi, Alessandro, Scarlatti, Sergio

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The economic cost of social distancing during a pandemic: an optimal control approach in the SVIR model von Ramponi, Alessandro, Tessitore, M. Elisabetta

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Promoting sustainability goals: innovation trajectories of Fintech through patent analysis von Ferraro, Giovanna, Iovanella, Antonio, Ramponi, Alessandro, Rotundo, Giulia

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A stochastic model for evaluating the peaks of commodities' returns von Cerqueti, Roy, Mattera, Raffaele, Ramponi, Alessandro

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CVA in fractional and rough volatility models von Alòs, Elisa, Antonelli, Fabio, Ramponi, Alessandro, Scarlatti, Sergio

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Wrong Way Risk corrections to CVA in CIR reduced-form models von Antonelli, Fabio, Ramponi, Alessandro, Scarlatti, Sergio

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On a Transform Method for the Efficient Computation of Conditional V (and V) with Application to Loss Models with Jumps and Stochastic Volatility von Ramponi, Alessandro

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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 von Ramponi, Alessandro

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FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS von RAMPONI, ALESSANDRO

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Probabilistic and statistical methods in commodity risk management von Antonelli, Fabio, Cerqueti, Roy, Ramponi, Alessandro, Scarlatti, Sergio

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On a convergent power series method to price defaultable bonds in a Vasicek-CIR model von Antonelli, Fabio, Ramponi, Alessandro, Scarlatti, Sergio

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A General Scenario Theory for Nonconvex Optimization and Decision Making von Campi, Marco Claudio, Garatti, Simone, Ramponi, Federico Alessandro

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A moment matching method for option pricing under stochastic interest rates von Antonelli, Fabio, Ramponi, Alessandro, Scarlatti, Sergio

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Consistency of the Scenario Approach von Ramponi, Federico Alessandro

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Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing von Ramponi, Alessandro

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FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS von Ramponi, Alessandro

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CVA and vulnerable options in stochastic volatility models von Alòs, Elisa, Antonelli, Fabio, Ramponi, Alessandro, Scarlatti, Sergio

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