Consumption optimization for recursive utility in a jump-diffusion model

von Antonelli, Fabio
Veröffentlicht in Decisions in economics and finance (2016)

Rate of convergence of Monte Carlo simulations for the Hobson-Rogers model

von Antonelli, Fabio
Veröffentlicht in International journal of theoretical and applied finance (2008)

Pricing options under stochastic volatility : a power series approach

von Antonelli, Fabio
Veröffentlicht in Finance and stochastics (2009)

Option-based risk management of a bond portfolio under regime switching interest rates

von Antonelli, Fabio
Veröffentlicht in Decisions in economics and finance (2013)

Approximate value adjustments for European claims

von Antonelli, Fabio
Veröffentlicht in European journal of operational research (2022)

Exchange option pricing under stochastic volatility : a correlation expansion

von Antonelli, Fabio
Veröffentlicht in Review of derivatives research (2010)

Random time forward-starting options

von Antonelli, Fabio
Veröffentlicht in International journal of theoretical and applied finance (2016)

Asset pricing with a forward-backward stochastic differential utility

von Antonelli, Fabio
Veröffentlicht in Economics letters (2001)

A comparison result for FBSDE with applications to decisions theory

von Antonelli, Fabio
Veröffentlicht in Mathematical methods of operations research (2001)

CVA and vulnerable options in Stochastic volatility models

von Alòs, Elisa
Veröffentlicht in International journal of theoretical and applied finance (2021)