2108/314222 - 2023 -
CVA in fractional and rough volatility models Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: APPLIED MATHEMATICS AND COMPUTATION (New York: Elsevier [etc.]) pp. 127715- - issn: 0096-3003 - wos: WOS:000903806900005 (1) - scopus: 2-s2.0-85143488546 (1)
2108/314223 - 2022 -
Fintech meets Industry 4.0: a systematic literature review of recent developments and future trends Ferraro, Giovanna; Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: TECHNOLOGY ANALYSIS & STRATEGIC MANAGEMENT ([London] : Routledge, 1999-.) pp. 1-17 - issn: 1465-3990 - wos: WOS:000849595400001 (5) - scopus: 2-s2.0-85137668395 (5)
2108/295091 - 2022 -
On a convergent power series method to price defaultable bonds in a Vasicek-CIR model Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: ELECTRONIC COMMUNICATIONS IN PROBABILITY (UNIV WASHINGTON, DEPT MATHEMATICS, BOX 354350, SEATTLE, USA, WASHINGTON, 98195-4350) pp. - - issn: 1083-589X - wos: WOS:000768204000001 (0) - scopus: 2-s2.0-85126770193 (0)
2108/252545 - 2022 -
Approximate value adjustments for European claims Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 1149-1161 - issn: 0377-2217 - wos: WOS:000781728000024 (4) - scopus: 2-s2.0-85119177847 (4)
2108/274941 - 2021 -
CVA and Vulnerable Options in Stochastic Volatility Models Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (World Scientific Publishing Company:PO Box 128, Farrer Road, Singapore 912805 Singapore:011 65 6 4665775, EMAIL: journal@wspc.com.sg, INTERNET: http://www.wspc.com.sg, http://www.worldscinet.com, Fax: 011 65 6 4677667) pp. 2150010- - issn: 0219-0249 - wos: WOS:000636306600018 (12) - scopus: 2-s2.0-85104173894 (6)
2108/252543 - 2021 -
A moment matching method for option pricing under stochastic interest rates Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY (Chichester: John Wiley & Sons, ©1999-) pp. 802-822 - issn: 1524-1904 - wos: WOS:000648021400001 (0) - scopus: 2-s2.0-85105235153 (0)
2108/224917 - 2019 -
CVA and Vulnerable Options in Stochastic Volatility Models Ramponi, Alessandro; Scarlatti, Sergio - 99 - Altro
2108/224910 - 2019 -
CVA and vulnerable options pricing by correlation expansions Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: ANNALS OF OPERATIONS RESEARCH (Switzerland: Springer Nature
Dordrecht : Kluwer) pp. - - issn: 1572-9338 - wos: WOS:000636306600018 (12) - scopus: 2-s2.0-85074156385 (13)
2108/168843 - 2016 -
RANDOM TIME FORWARD-STARTING OPTIONS Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE (World Scientific Publishing Company:PO Box 128, Farrer Road, Singapore 912805 Singapore:011 65 6 4665775, EMAIL: journal@wspc.com.sg, INTERNET: http://www.wspc.com.sg, http://www.worldscinet.com, Fax: 011 65 6 4677667) pp. - - issn: 0219-0249 - wos: WOS:000390244600004 (2) - scopus: 2-s2.0-84994131749 (2)
2108/113572 - 2015 -
Random time forward starting options Ramponi, Alessandro; Scarlatti, Sergio - 99 - Altro
2108/23226 - 2013 -
Option-based risk management of a bond portfolio under regime switching interest rates Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: DECISIONS IN ECONOMICS AND FINANCE (Springer-Verlag Italia Srl:via Decembrio 28, 20137 Milan Italy:011 39 2 5425971, EMAIL: riccardi@springer.it, Fax: 011 39 2 55193360) pp. 47-70 - issn: 1593-8883 - wos: (0) - scopus: 2-s2.0-84875500193 (5)
2108/103661 - 2012 -
From normal vs skew-normal portfolios: FSD and SSD rules Scarlatti, Sergio - 01 - Articolo su rivista
rivista: JOURNAL OF MATHEMATICAL FINANCE (Irvine, CA : Scientific Research Publishing, Inc.) pp. - - issn: 2162-2434 - wos: (0) - scopus: (0)
2108/103678 - 2011 -
Finanza e investimenti: fondamenti matematici Scarlatti, Sergio - 05 - Curatele
2108/11664 - 2010 -
Exchange option pricing under stochastic volatility: a correlation expansion Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: REVIEW OF DERIVATIVES RESEARCH (Kluwer Academic Publishers:Journals Department, PO Box 322, 3300 AH Dordrecht Netherlands:011 31 78 6576050, EMAIL: frontoffice@wkap.nl, kluweronline@wkap.nl, INTERNET: http://www.kluwerlaw.com, Fax: 011 31 78 6576254) pp. 45-73 - issn: 1380-6645 - wos: WOS:000282784300003 (30) - scopus: 2-s2.0-77949277874 (29)
2108/38727 - 2009 -
Pricing options under stochastic volatility: a power series approach Scarlatti, Sergio - 01 - Articolo su rivista
rivista: FINANCE AND STOCHASTICS (Springer Verlag Germany:Tiergartenstrasse 17, D 69121 Heidelberg Germany:011 49 6221 3450, EMAIL: g.braun@springer.de, INTERNET: http://www.springer.de, Fax: 011 49 6221 345229) pp. 269-303 - issn: 0949-2984 - wos: WOS:000263870300005 (25) - scopus: 2-s2.0-67349251270 (28)
2108/14783 - 2009 -
Option pricing in a hidden Markov model of the short rate with application to risky debt evaluation Ramponi, Alessandro; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: INTERNATIONAL JOURNAL OF RISK ASSESSMENT AND MANAGEMENT (Inderscience Enterprises Limited:29 route de Pre-Bois, CP 896, CH-1215 Geneva Switzerland:011 44 1234 713365, EMAIL: subs@inderscience.com, INTERNET: http://www.inderscience.com, Fax: 011 41 22 7910885
Milton Keynes: Inderscience Enterprises.) pp. 88-103 - issn: 1466-8297 - wos: (0) - scopus: 2-s2.0-58049215108 (2)
2108/41787 - 2008 -
Discounted and finitely repeated minority games with public signals Scarlatti, Sergio - 01 - Articolo su rivista
rivista: MATHEMATICAL SOCIAL SCIENCES (Elsevier BV:PO Box 211, 1000 AE Amsterdam Netherlands:011 31 20 4853757, 011 31 20 4853642, 011 31 20 4853641, EMAIL: nlinfo-f@elsevier.nl, INTERNET: http://www.elsevier.nl, Fax: 011 31 20 4853598) pp. 44-74 - issn: 0165-4896 - wos: WOS:000257376900003 (5) - scopus: 2-s2.0-44449141803 (7)
2108/56072 - 2006 -
Exchange options with stochastic volatility Ramponi, Alessandro; Scarlatti, Sergio - 02 - Intervento a convegno
congresso: Convegno A.M.A.S.E.S. (Trieste)
libro: Atti 30. Convegno A.M.A.S.E.S. - (9788890258503)
2108/46298 - 2005 -
A folk theorem for minority games Scarlatti, Sergio - 01 - Articolo su rivista
rivista: GAMES AND ECONOMIC BEHAVIOR (Academic Press Incorporated:6277 Sea Harbor Drive:Orlando, FL 32887:(800)543-9534, (407)345-4100, EMAIL: ap@acad.com, INTERNET: http://www.idealibrary.com, Fax: (407)352-3445) pp. 208-230 - issn: 0899-8256 - wos: WOS:000233656500003 (8) - scopus: 2-s2.0-28044442237 (10)
2108/48367 - 2004 -
Optimal scaling of MaLa for non linear regression Scarlatti, Sergio - 01 - Articolo su rivista
rivista: THE ANNALS OF APPLIED PROBABILITY (Institute of Mathematical Statistics:PO Box 22718:Beachwood, OH 44122:(216)295-2340, EMAIL: plsims@stat.berkeley.edu, INTERNET: http://www.imstat.org, Fax: (216)991-8860) pp. 1479-1505 - issn: 1050-5164 - wos: WOS:000222837200016 (18) - scopus: 2-s2.0-26844542053 (18)
2108/43701 - 1996 -
Singular traces and compact operators Guido, Daniele; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: JOURNAL OF FUNCTIONAL ANALYSIS (New York: Academic Press.) pp. 281-302 - issn: 0022-1236 - wos: WOS:A1996UK64800001 (27) - scopus: 2-s2.0-0030138719 (25)
2108/43712 - 1996 -
Non-symmetric Dirichlet forms on semifinite von Neumann algebras Guido, Daniele; Isola, Tommaso; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: JOURNAL OF FUNCTIONAL ANALYSIS (New York: Academic Press.) pp. 50-75 - issn: 0022-1236 - wos: WOS:A1996TR00900003 (15) - scopus: 2-s2.0-0030577623 (16)
2108/15701 - 1996 -
A remark on trace properties of K-cycles Guido, Daniele; Scarlatti, Sergio - 01 - Articolo su rivista
rivista: JOURNAL OF OPERATOR THEORY (American Mathematical Society:PO Box 6248:Providence, RI 02940:(800)321-4267, (401)455-4000, EMAIL: cust-serv@ams.org, gma@math.ams.org, INTERNET: http://www.ams.org, Fax: (401)331-3842) pp. 179-189 - issn: 0379-4024 - wos: (0) - scopus: 2-s2.0-0000079433 (22)
2108/15703 - 1995 -
Singular traces and nonstandard analysis Guido, Daniele; Scarlatti, Sergio - 03 - Contributo in libro
libro: Advances in analysis, probability and mathematical physics - (0-7923-3191-5)
2108/15702 - 1995 -
Dixmier traces and non standard analysis Guido, Daniele; Scarlatti, Sergio - 03 - Contributo in libro
libro: Stochastic processes, physics and geometry - (981-02-2141-X)
2108/15704 - 1993 -
Non standard representation of non normal traces Guido, Daniele; Scarlatti, Sergio - 03 - Contributo in libro
libro: Dynamics of complex and irregular systems - (981-02-1570-3)