| . |
Grasselli, Martino's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
3,033 |
Total
Citations
27 |
|
|
|
|
|
1.
|
|
|
Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law Grasselli, Martino
University of Padua Tebaldi, Claudio
Bocconi University - Department of Finance
|
|
1,048
(8,627)
|
8
|
|
| |
|
| |
Wishart processes, Best-of Basket option, Stochastic Correlation, FFT
|
|
|
2.
|
|
Hedging (Co)Variance Risk with Variance Swaps
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law Grasselli, Martino
University of Padua Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM
|
|
Posted:
|
|
04 Mar 08
|
|
Last Revised:
|
|
19 Feb 09
|
|
698
(16,074)
|
3
|
|
|
|
|
Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM Grasselli, Martino
University of Padua
|
|
178
|
3
|
|
| |
|
| |
Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice with derivatives
|
|
|
|
|
|
|
Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law Grasselli, Martino
University of Padua Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM
|
| Posted: |
|
04 Mar 08
|
|
Last Revised:
|
|
01 Dec 08
|
|
520
|
3
|
|
| |
|
| |
Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice
|
|
|
|
|
|
3.
|
|
|
Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law Grasselli, Martino
University of Padua Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM
|
| Posted: |
|
06 Dec 07
|
|
Last Revised:
|
|
13 Aug 12
|
|
608
(19,626)
|
4
|
|
| |
|
| |
Wishart Process, Empirical Characteristic Function, Stochastic Correlation
|
|
|
4.
|
|
|
Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law Grasselli, Martino
University of Padua
|
| Posted: |
|
24 Aug 10
|
|
Last Revised:
|
|
09 Feb 11
|
|
379
(36,461)
|
1
|
|
| |
|
| |
calibration, implied volatility, Wishart stochasic volatility, FFT, stochastic skew
|
|
|
5.
|
|
|
De Col, Alvise
affiliation not provided to SSRN Gnoatto, Alessandro
Ludwig Maximilians University of Munich Grasselli, Martino
University of Padua
|
|
123
(115,851)
|
|
|
| |
|
| |
Forex, Calibration, Multi-Heston model, triangular relation
|
|
|
6.
|
|
|
Gnoatto, Alessandro
Ludwig Maximilians University of Munich Grasselli, Martino
University of Padua Da Fonseca, José
Auckland University of Technology - Faculty of Business & Law
|
|
56
(190,395)
|
|
|
| |
|
| |
Affine processes, Wishart process, Libor market model, Fast Fourier Transform, Caps, Floors, Swaptions
|
|
|
7.
|
|
|
Gnoatto, Alessandro
Ludwig Maximilians University of Munich Grasselli, Martino
University of Padua
|
| Posted: |
|
01 Mar 13
|
|
Last Revised:
|
|
13 Mar 13
|
|
47
(206,261)
|
|
|
| |
|
| |
FX options, Hybrid models, longdated FX, Wishart process, Affine process, FFT
|
|
|
8.
|
|
|
Gabay, Daniel
Ecole des Hautes Etudes en Sciences Sociales (EHESS) Grasselli, Martino
University of Padua
|
| Posted: |
|
29 Aug 10
|
|
Last Revised:
|
|
24 Mar 11
|
|
45
(209,993)
|
|
|
| |
|
| |
|
|
|
9.
|
|
|
Grasselli, Martino
University of Padua Tebaldi, Claudio
Bocconi University - Department of Finance
|
|
22
(268,606)
|
1
|
|
| |
|
| |
|
|
|
10.
|
|
|
Grasselli, Martino
University of Padua Tebaldi, Claudio
Bocconi University - Department of Finance
|
|
7
(320,004)
|
10
|
|
| |
|
| |
|
|
