Search Results - person:"Antonelli, F."

Wrong way risk corrections to CVA in CIR reduced-form models

Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: Computational management science 20 (2023) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014393427

Antonelli, Fabio - 2020

We introduce a natural generalization of the forward-starting options, first discussed by M. Rubinstein [Rubin]. The main feature of the contract presented here is that the strike-determination time is not fixed ex-ante, but allowed to be random, usually related to the occurrence of some event,...

Persistent link: https://www.econbiz.de/10012856277

Approximate value adjustments for European claims

Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: European journal of operational research : EJOR 300 (2022) 3, pp. 1149-1161

Persistent link: https://www.econbiz.de/10013207329

CVA and vulnerable options in Stochastic volatility models

Alòs, Elisa; Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012650293

Random time forward-starting options

Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10011686733

Consumption optimization for recursive utility in a jump-diffusion model

Antonelli, Fabio; Mancini, Carlo - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 2, pp. 293-310

Persistent link: https://www.econbiz.de/10011642633

Option-based risk management of a bond portfolio under regime switching interest rates

Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: Decisions in economics and finance : DEF ; a journal of … 36 (2013) 1, pp. 47-70

Persistent link: https://www.econbiz.de/10009729065

Exchange option pricing under stochastic volatility: a correlation expansion

Antonelli, F.; Ramponi, A.; Scarlatti, S. - In: Review of Derivatives Research 13 (2010) 1, pp. 45-73

Persistent link: https://www.econbiz.de/10010867543

Exchange option pricing under stochastic volatility : a correlation expansion

Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 45-73

Persistent link: https://www.econbiz.de/10008695501

A fast Fourier transform technique for pricing American options under stochastic volatility

Antonelli, F.; Ramponi, A.; Scarlatti, S. - In: Review of derivatives research 13 (2010) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10008389595

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