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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

Quantization meets Fourier : a new technology for pricing options

Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino - In: Application of operations research to financial markets, (pp. 59-86). 2019

Persistent link: https://www.econbiz.de/10012157344

A penny saved is a penny earned : less expensive zero coupon bonds

Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2016

Persistent link: https://www.econbiz.de/10011778099

Lie symmetry methods for local volatility models

Craddock, Mark; Grasselli, Martino - 2016

Persistent link: https://www.econbiz.de/10011778123

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

Smiles all around : FX joint calibration in a multi-Heston model

De Col, Alvise; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of banking & finance 37 (2013) 10, pp. 3799-3818

Persistent link: https://www.econbiz.de/10010126819

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

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

VIX vs VXX : A Joint Analytical Framework

Grasselli, Martino - 2018

We propose a framework for modeling in a consistent manner the VIX index and the VXX, an exchange-traded note written on the VIX. Our study enables to link the properties of VXX to those of the VIX in a tractable way. In particular, we quantify the systematic loss observed empirically for VXX...

Persistent link: https://www.econbiz.de/10012924323