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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
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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
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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
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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
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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
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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
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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
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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
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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
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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