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The 4/2 stochastic volatility...
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Theory
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3/2 Stochastic volatility model
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Grasselli, Martino
20
Tebaldi, Claudio
4
Alfeus, Mesias
3
Schlögl, Erik
3
Deelstra, Griselda
2
Fonseca, José da
2
Gnoatto, Alessandro
2
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Journal of economic dynamics & control
3
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1
Decisions in economics and finance : a journal of applied mathematics
1
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
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1
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1
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ECONIS (ZBW)
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1
Conditional dominance criteria : definition and application to risk-management
Deelstra, Griselda
;
Grasselli, Martino
;
Koehl, …
-
1999
Persistent link: https://www.econbiz.de/10001355592
Saved in:
2
Assortment optimization over time
Fonseca, José da
;
Gnoatto, Alessandro
;
Grasselli, Martino
- In:
Operations research letters
43
(
2015
)
6
,
pp. 608-611
Persistent link: https://www.econbiz.de/10011416325
Saved in:
3
Stochastic skew and target volatility options
Grasselli, Martino
;
Romo, Jacinto Marabel
- In:
The journal of futures markets
36
(
2016
)
2
,
pp. 174-193
Persistent link: https://www.econbiz.de/10011568064
Saved in:
4
A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
5
Optimal design of the guarantee for defined contribution funds
Deelstra, Griselda
;
Grasselli, Martino
;
Koehl, …
- In:
Journal of economic dynamics & control
28
(
2004
)
11
,
pp. 2239-2260
Persistent link: https://www.econbiz.de/10002172298
Saved in:
6
Fair demographic risk sharing in defined contribution pension systems
Gabay, Daniel
;
Grasselli, Martino
- In:
Journal of economic dynamics & control
36
(
2012
)
4
,
pp. 657-669
Persistent link: https://www.econbiz.de/10009554324
Saved in:
7
Solvable affine term structure models
Grasselli, Martino
;
Tebaldi, Claudio
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 135-153
Persistent link: https://www.econbiz.de/10003643480
Saved in:
8
Bond price and impulse response function for the Balduzzi, Das, Foresi and Sundaram (1996) model
Grasselli, Martino
;
Tebaldi, Claudio
- In:
Economic notes : economic review of Banca Monte dei …
33
(
2004
)
3
,
pp. 359-374
Persistent link: https://www.econbiz.de/10003690357
Saved in:
9
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
Saved in:
10
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
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