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Sergio SCARLATTI

Professor

University of Rome Tor Vergata

Italy

Research Interests

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Professors in Italy

Articles (10)

Year:

2026

Year:

2025

Year:

2025

Year:

2024

Year:

2024

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2022

Year:

2021

Year:

2021

Year:

2021

Year:

2021

Collaborators (1)

Roy Cerqueti

Sapienza University of Rome

ITALY

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Sergio SCARLATTI

Research Interests

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Articles (10)

Credit risk for large portfolios of green and brown loans: Extending the ASRF model

A compartmental model for the dynamic simulation of pandemics with a multi-phase vaccination and its application to Italian COVID-19 data

An analysis of short selling restrictions in factor model based portfolio immunization

Enhanced Cauchy–Schwarz inequality and some of its statistical applications

Probabilistic and statistical methods in commodity risk management

On a convergent power series method to price defaultable bonds in a Vasicek-CIR model

CVA and vulnerable options pricing by correlation expansions

A moment matching method for option pricing under stochastic interest rates

Approximate value adjustments for European claims

CVA and VULNERABLE OPTIONS in STOCHASTIC VOLATILITY MODELS

Collaborators (1)

Roy Cerqueti

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