Zobrazeno 1 - 10
of 71
pro vyhledávání: '"Ramponi, Alessandro"'
We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized through implementing social rules to reduce the disease's spread, which oft
Externí odkaz:
http://arxiv.org/abs/2208.04908
In this work we present a general representation formula for the price of a vulnerable European option, and the related CVA in stochastic (either rough or not) volatility models for the underlying's price, when admitting correlation with the default
Externí odkaz:
http://arxiv.org/abs/2204.11554
Autor:
Ramponi, Alessandro1 (AUTHOR) alessandro.ramponi@uniroma2.it, Tessitore, Maria Elisabetta1 (AUTHOR)
Publikováno v:
Mathematics (2227-7390). Apr2024, Vol. 12 Issue 7, p933. 17p.
We consider the problem of computing the Value Adjustment of European contingent claims when default of either party is considered, possibly including also funding and collateralization requirements. As shown in Brigo et al. (\cite{BLPS}, \cite{BFP})
Externí odkaz:
http://arxiv.org/abs/2007.07701
In this paper we present a simple, but new, approximation methodology for pricing a call option in a Black \& Scholes market characterized by stochastic interest rates. The method, based on a straightforward Gaussian moment matching technique applied
Externí odkaz:
http://arxiv.org/abs/2005.14063
In this work we want to provide a general principle to evaluate the CVA (Credit Value Adjustment) for a vulnerable option, that is an option subject to some default event, concerning the solvability of the issuer. CVA is needed to evaluate correctly
Externí odkaz:
http://arxiv.org/abs/1907.12922
Akademický článek
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Publikováno v:
In Applied Mathematics and Computation 1 April 2023 442
Akademický článek
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We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting. Namely we model the asset price evolution as solution to a linear equation that mi
Externí odkaz:
http://arxiv.org/abs/1811.07294