Claudio Tebaldi

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Roentgen 1

Milan, 20136

Italy

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research

Via Roentgen 1

Milan, 20136

Italy

SCHOLARLY PAPERS

16

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CITATIONS
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88

Scholarly Papers (16)

1.

Option Pricing When Correlations are Stochastic: An Analytical Framework

Number of pages: 25 Posted: 24 Apr 2007
José Da Fonseca, Martino Grasselli and Claudio Tebaldi
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 1,332 (13,899)
Citation 10

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Wishart processes, Best-of Basket option, Stochastic Correlation, FFT

2.

The Scale of Predictability

Number of pages: 67 Posted: 05 Dec 2012 Last Revised: 17 Jul 2018
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 753 (32,107)
Citation 8

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predictability, frequency, aggregation, risk-return trade-off

3.

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Number of pages: 63 Posted: 18 Mar 2011
University of Lugano - Institute of Finance, University of Verona - Department of Economics, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 405 (71,285)
Citation 5

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Option Pricing, Stochastic Volatility, Stochastic Leverage, Short and Long Run Volatility Risk, Matrix Affine Jump Diffusions

4.

Levered Returns and Capital Structure Imbalances

Swiss Finance Institute Research Paper No. 18-36
Number of pages: 64 Posted: 24 Jan 2017 Last Revised: 15 May 2018
Filippo Ippolito, Roberto Steri and Claudio Tebaldi
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, University of Lausanne and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 399 (72,476)
Citation 1

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Leverage, Cross Section of Returns, Target Leverage, Dynamic Capital Structure, Financial Frictions

5.

The Price of the Smile and Variance Risk Premia

Swiss Finance Institute Research Paper No. 15-36
Number of pages: 70 Posted: 18 Sep 2015 Last Revised: 25 Sep 2015
Peter H. Gruber, Claudio Tebaldi and Fabio Trojani
University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 333 (89,293)
Citation 9

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Price of the Smile, Price of Volatility, Option Pricing, Stochastic Volatility, Unspanned Skewness, Financial Constrains, Financial Intermediation, Financial Crisis, Factor Models, Matrix Jump Diffusions, Variance Swaps, Skew Swaps

6.

Long Run Risk and the Persistence of Consumption Shocks

Number of pages: 62 Posted: 22 Nov 2010 Last Revised: 01 Jun 2013
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 305 (98,310)
Citation 2

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Long-run risk, Persistence heterogeneity, Temporal aggregation, Consumption predictability

7.

A Persistence-Based Wold-Type Decomposition for Stationary Time Series

Number of pages: 50 Posted: 15 Dec 2011 Last Revised: 31 Jul 2019
Bocconi University - Department of Finance, University of Lugano - Institute of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 290 (103,908)
Citation 1

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Wold decomposition, temporal aggregation, persistence heterogeneity, forecasting

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Number of pages: 48 Posted: 24 May 2014
Hong Kong University of Science and Technology (HKUST), Audencia Business School, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 211 (143,129)
Citation 1

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Longevity Risk, Strategic Asset Allocation

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Netspar Discussion Paper No. 05/2015-012
Number of pages: 54 Posted: 30 Jul 2015
Hong Kong University of Science and Technology (HKUST), Bocconi University - Department of Finance, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 57 (368,945)

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Longevity risk, strategic asset allocation

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

CEPR Discussion Paper No. DP10595
Number of pages: 55 Posted: 19 May 2015
Hong Kong University of Science and Technology (HKUST), Bocconi University - Department of Finance, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
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longevity risk, strategic asset allocation

9.

Three Make a Smile – Dynamic Volatility, Skewness and Term Structure Components in Option Valutation

CAREFIN Research Paper No. 02/2010
Number of pages: 44 Posted: 30 Mar 2011
Peter H. Gruber, Claudio Tebaldi and Fabio Trojani
University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 253 (119,987)

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Option Pricing, Stochastic Volatility, Short and Long Term Volatility Risk, Stochastic Leverage, Wishart Diffusion

10.

Illiquid Assets and Optimal Portfolio Choice

NBER Working Paper No. w12633
Number of pages: 66 Posted: 20 Nov 2006 Last Revised: 17 Nov 2010
Claudio Tebaldi and Eduardo S. Schwartz
Bocconi University - CAREFIN - Centre for Applied Research in Finance and Simon Fraser University (SFU)
Downloads 153 (191,118)

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11.

Asset Pricing Implications of Systemic Risk in Network Economies

Number of pages: 70 Posted: 21 Nov 2017 Last Revised: 16 Jul 2019
Andrea Buraschi and Claudio Tebaldi
Imperial College Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 151 (193,230)
Citation 2

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Network, asset pricing, systemic risk, contagion, cascades

12.

Long Run and the Temporal Aggregation of Risks

Number of pages: 63 Posted: 18 Mar 2010 Last Revised: 23 Nov 2010
Fulvio Ortu, Andrea Tamoni and Claudio Tebaldi
Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 118 (234,583)
Citation 1

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Persistence heterogeneity, Temporal aggregation, Permanent-transitory decomposition, Term-structure of risks, Long-run risks

13.

Consumer Protection and the Design of the Default Option of a Pan-European Pension Product

Swiss Finance Institute Research Paper No. 19-19
Number of pages: 76 Posted: 17 Mar 2018 Last Revised: 11 Apr 2019
Andrea Berardi, Claudio Tebaldi and Fabio Trojani
Ca Foscari University of Venice - Dipartimento di Economia, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 50 (385,960)

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Life-Cycle Saving, Household Finance, Guaranteed Strategies

14.

Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model

Economic Notes, Vol. 33, No. 3, pp. 359-374, November 2004
Number of pages: 16 Posted: 14 Apr 2005
Martino Grasselli and Claudio Tebaldi
University of Padova - Department of Mathematics and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 22 (507,158)
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15.

Solvable Affine Term Structure Models

Mathematical Finance, Vol. 18, Issue 1, pp. 135-153, January 2008
Number of pages: 19 Posted: 19 Dec 2007
Martino Grasselli and Claudio Tebaldi
University of Padova - Department of Mathematics and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 7 (597,582)
Citation 2
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16.

A 'Coherent State Transform' Approach to Derivative Pricing

International Journal of Theoretical and Applied Finance
Posted: 25 Apr 2010 Last Revised: 03 May 2010
Claudio Tebaldi and Ludovico Perissinotto
Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of Verona, Department of Economics and Veneto Banca Holding

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Coherent states, affine jump diffusion, Lie groups, Lie algebras

Other Papers (1)

Total Downloads: 16
1.

Illiquid Assets and Optimal Portfolio Choice

UCLA Anderson School of Management Paper No. 18-04
Number of pages: 48 Posted: 04 Mar 2005
Claudio Tebaldi and Eduardo S. Schwartz
Bocconi University - CAREFIN - Centre for Applied Research in Finance and Simon Fraser University (SFU)
Downloads 16

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Dynamic portfolio choice