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        string(18) "ALESSANDRO RAMPONI"
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        string(4230) "Inserire qui il curriculum<p>Education</p><p>- Ph.D. Mathematics, Universit&agrave; degli Studi di Roma - Tor Vergata. Supervisor: Prof. M. Piccioni.</p><p>- Laurea in Matematica, cum laude, Universit&agrave; degli Studi di Roma - Tor Vergata.</p><p><br />Previous positions</p><p>- 1999-2006, Assistant Professor, Dept. Pure and Applied Mathematics, University of L&rsquo;Aquila, L&rsquo;Aquila;<br />- 1998 Research grant at Istituto per le Applicazioni del Calcolo &ndash; IAC, National Council of Research (CNR). Subject: Stochastic models for NMR relaxometry;<br />- 1997/1998 Post-doc fellowships at IAC-CNR;<br />- 1991/1992 Annual scholarship at Istituto per le Applicazioni del Calcolo &ndash; IAC, National Council of Research (CNR);<br />- 1990/1991 Annual scholarship at Fondazione Ugo Bordoni &ndash; Division &ldquo;Evolution of Telecommunication Systems&rdquo;.</p><p><br />Research interests</p><p>Quantitative finance. Stochastic models for financial derivatives. Credit risk. Portofolio and risk management. Formerly: stochastic approximation, Markov random fields simulation, neural networks, random polynomials.</p><p><br />Professional Activities</p><p>- Referee for: Journal of the Scandinavian Statistical Society, Methodology and Computing in Applied Probability, Taiwanese Journal of Mathematics, Computers and OR, Quantitative Finance;<br />- Reviewer for the Mathematical Reviews Database (MathSciNet - American Mathematical Society);<br />- Member of A.M.A.S.E.S., the Italian Association of Mathematics Applied to Economic and Social Sciences.</p><p>&nbsp;</p><p>Pubblications</p><p>Refereed journals</p><p>17 F. Antonelli, A. Ramponi, S. Scarlatti, Random Time Forward Starting Options, International Journal of Theoretical and Applied Finance, 2016, to appear.</p><p>16 A. Ramponi - On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility, Methodology and Computing in Applied Probability, Vol 18,&nbsp; 2016, pp. 575&ndash;596.</p><p>15 A. Ramponi &ndash; Var-Optimal Risk Management in Regime-Switching Jump-Diffusion Models, Journal on Mathematical Finance, Vol.3, 2013, pp. 103-109.</p><p>14 A. Ramponi - Fourier Transform Methods for Regime-Switching Jump-Diffusions<br />and the pricing of Forward Starting Options, International Journal of Theoretical and Applied Finance, Vol. 15, n.05, 2012.</p><p>13 F. Antonelli, A. Ramponi, S. Scarlatti - Option based risk management of a bond portfolio under regime switching interest rates, Decision in Economics and Finance, on<br />line 21 October 2011, DOI: 10.1007/s10203-011-0123-1.</p><p>12 F. Antonelli, A. Ramponi, S. Scarlatti - Exchange option pricing under stochastic volatility: a correlation expansion, Review of Derivatives Research, Volume 13, Number 1, 2010, pp. 45-73.</p><p>11 A. Ramponi - Mixture Dynamics and Regime Switching Diffusions with Application to Option Pricing, Methodology and Computing in Applied Probability, Volume 13, Number 2, June 2011, pp. 349-368 (published on line 2009).</p><p>10. A. Ramponi, S. Scarlatti - Option pricing in a hidden Markov model of the short rate with application to risky debts evaluation, International Journal of Risk Assessment and Management, Volume 11 - Issue 1/2, 2009.</p><p>9. Ramponi A. - Adaptive and monotone spline estimation of the cross&ndash;sectional term structure of interest rates, International Journal of Theoretical and Applied Finance, 6 ,2, pp. 195-212, 2003.</p><p>8. Marangio L., Ramponi A., Bernaschi M. - A review of methods for the estimation of the term structure, International Journal of Theoretical and Applied Finance, 5, 2, pp.189-221, 2002;</p><p>7. Barone P., Ramponi A., Sebastiani G. - On the numerical inversion of the Laplace transform for Nuclear Magnetic Resonance relaxometry, Inverse Problems, 17, pp.77-94, 2001;</p><p>6. Barone P., Ramponi A., Sebastiani G. - A new numerical procedure for solving the Nuclear Magnetic Resonance relaxometry problem, Magnetic Resonance Imaging, Vol. 19, 3-4, p.581, 2001;</p><p>5. Barone P., Ramponi A. - A new estimation method in modal analysis, IEEE Trans. Sig. Processing, 48, 4, pp. 1002-1013, 2000.</p> a:0:{}"
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