3 citations · 5 across the 10 of their papers we have counts for
13 papers
Credit risk for large portfolios of green and brown loans: extending the ASRF model
Alessandro Ramponi, Sergio Scarlatti
We propose a credit risk model for portfolios composed of green and brown loans, extending the ASRF framework via a two-factor copula structure. Systematic risk is modeled using po…
Educational programs and crime: a compartmental model approach
Alessandro Ramponi, M. Elisabetta Tessitore
In this paper, we present a mathematical model to describe the temporal evolution of delinquent behavior, treating it as a socially transmitted phenomenon influenced by peer intera…
The economic cost of social distancing during a pandemic: an optimal control approach in the SVIR model
Alessandro Ramponi, Maria Elisabetta Tessitore
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 throu…
CVA in fractional and rough volatility models
Elisa Alòs, Fabio Antonelli, Alessandro Ramponi +1
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 fo…
Approximate XVA for European claims
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
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 collateraliz…
A moment matching method for option pricing under stochastic interest rates
Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti
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,…