Concepedia

Fabio Antonelli

FA

Statistics

Publications

14

Citations

730

H-Index

14

Active since

1993

Affiliations

University of L'Aquila(Current)

Universitat Pompeu Fabra

University of Chieti-Pescara

University of Rome Tor Vergata

Sapienza University of Rome

Fabio Antonelli is an author at University of L'Aquila specializing in engineering, stochastic calculus, and finance.

Top concepts

EngineeringStochastic CalculusFinanceBusinessAsset PricingStochastic AnalysisProbabilityStochastic Differential EquationsStabilityManagement

Publications per year

1993–2019

14

Publications

14

Backward-Forward Stochastic Differential Equations

Fabio Antonelli · The Annals of Applied Probability · 1993 · 344 citations · Full text

Engineering, Asset Pricing, Own Trajectory +11

Rate of convergence of a particle method to the solution of the McKean--Vlasov equation

Fabio Antonelli, Arturo Kohatsu‐Higa · The Annals of Applied Probability · 2002 · 53 citations · Full text

Numerical Analysis, Engineering, Perturbation Method +15

Pricing options under stochastic volatility: a power series approach

Fabio Antonelli, Sergio Scarlatti · Finance and Stochastics · 2009 · 51 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +6

Weak Solutions of Forward–Backward SDE's

Fabio Antonelli, Jin Ma · Stochastic Analysis and Applications · 2003 · 51 citations

Exchange option pricing under stochastic volatility: a correlation expansion

Fabio Antonelli, Alessandro Ramponi, Sergio Scarlatti · Review of Derivatives Research · 2009 · 39 citations · Full text

Option Pricing, Volatility Modeling, Multivariate Stochastic Volatility +8

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