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The 4/2 stochastic volatility model : a unified approach for the Heston and the 3/2 model

Grasselli, Martino - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1013-1034

Persistent link: https://www.econbiz.de/10011765005

Option pricing when correlations are stochastic : an analytical framework

Fonseca, José da; Grasselli, Martino; Tebaldi, Claudio - In: Review of derivatives research 10 (2007) 2, pp. 151-180

Persistent link: https://www.econbiz.de/10003705867

Hedging (co)variance risk with variance swaps

Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943

Persistent link: https://www.econbiz.de/10009380996

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

Fonseca, José da; Gnoatto, Alessandro; Grasselli, Martino - In: Operations research letters 43 (2015) 6, pp. 601-607

Persistent link: https://www.econbiz.de/10011416324

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

Persistent link: https://www.econbiz.de/10011377682

A flexible matrix Libor model with smiles

Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793

Persistent link: https://www.econbiz.de/10009726178

Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function

Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 253-289

Persistent link: https://www.econbiz.de/10010384289

Stochastic Jacobian and Riccati ODE in affine term structure models

Grasselli, Martino; Tebaldi, Claudio - In: Decisions in economics and finance : DEF ; a journal of … 30 (2007) 2, pp. 95-108

Persistent link: https://www.econbiz.de/10003630203

Conditional dominance criteria : definition and application to risk-management

Deelstra, Griselda; Grasselli, Martino; Koehl, … - 1999

Persistent link: https://www.econbiz.de/10001355592

An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates

Gnoatto, Alessandro - 2014

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX rates can be performed efficiently through the FFT...

Persistent link: https://www.econbiz.de/10013064455