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The 4/2 stochastic volatility...
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Grasselli, Martino
21
Fonseca, José da
5
Gnoatto, Alessandro
5
Tebaldi, Claudio
4
Deelstra, Griselda
2
Ielpo, Florian
2
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Journal of economic dynamics & control
4
Decisions in economics and finance : a journal of applied mathematics
2
Insurance / Mathematics & economics
2
International journal of theoretical and applied finance
2
Journal of banking & finance
2
Operations research letters
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Decisions in economics and finance : DEF ; 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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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
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1
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:
2
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:
3
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
Saved in:
4
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:
5
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
Saved in:
6
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:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
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