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Hedging a portfolio of derivative securities : a simulation approach

Tebaldi, Claudio - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 257-279

Persistent link: https://www.econbiz.de/10001603717

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

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

A "coherent state transform" approach to derivative pricing

Perissinotto, Ludovico; Tebaldi, Claudio - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 125-151

Persistent link: https://www.econbiz.de/10003855755

Long-run risk and the persistence of consumption shocks

Ortu, Fulvio; Tamoni, Andrea; Tebaldi, Claudio - In: The review of financial studies 26 (2013) 11, pp. 2876-2915

Persistent link: https://www.econbiz.de/10010225887

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

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

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

A multivariate model of strategic asset allocation with longevity risk

Bisetti, Emilio; Favero, Carlo A.; Nocera, Giacomo; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2251-2275

Persistent link: https://www.econbiz.de/10011929000

A persistence‐based Wold‐type decomposition for stationary time series

Ortu, Fulvio; Severino, Federico; Tamoni, Andrea; … - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 203-230

This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...

Persistent link: https://www.econbiz.de/10012202240