46 citations · 84 across the 10 of their papers we have counts for
13 papers
Second order mixed moment inequalities based on Gram matrices
Sergio Scarlatti
Recently [LT; Theorem 3.1] showed an extension of Walker's inequality [W] based on random variables. In this note we prove that extension is just a particular three-dimension…
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…
A note on D-functions and P-covariances on Hilbert spaces and related inequalities
Sergio Scarlatti
In this note we first review the concept of D-function, closely connected with Cauchy-Schwarz inequality, and then introduce the notion of P-covariance on a Hilbert space, where $P…
Enhanced Cauchy Schwarz inequality and some of its statistical applications
Sergio Scarlatti
We present a general refinement of the Cauchy-Schwarz inequality over complete inner product spaces and show that it can be of interest for some statistical applications. This gene…
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…