Sergio Scarlatti

According to our database, Sergio Scarlatti authored at least 8 papers between 1998 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2023

Wrong Way Risk corrections to CVA in CIR reduced-form models.

Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti

Comput. Manag. Sci., December, 2023

CVA in fractional and rough volatility models.

Elisa Alòs, Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti

Appl. Math. Comput., 2023

2022

Approximate value adjustments for European claims.

Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti

Eur. J. Oper. Res., 2022

2021

CVA and vulnerable options pricing by correlation expansions.

Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti

Ann. Oper. Res., 2021

2009

Pricing options under stochastic volatility: a power series approach.

Fabio Antonelli, Sergio Scarlatti

Finance Stochastics, 2009

2008

Discounted and finitely repeated minority games with public signals.

Jérôme Renault, Sergio Scarlatti, Marco Scarsini

Math. Soc. Sci., 2008

2005

A folk theorem for minority games.

Jérôme Renault, Sergio Scarlatti, Marco Scarsini

Games Econ. Behav., 2005

1998

A Variational Problem Arising from Speech Recognition.

Alain Trouvé, Mauro Piccioni, Sergio Scarlatti

SIAM J. Appl. Math., 1998