Claudio Tebaldi

Bocconi University - CAREFIN - Centre for Applied Research in Finance

Via Roentgen 1

Milan, 20136

Italy

SCHOLARLY PAPERS

14

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CITATIONS
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34

Scholarly Papers (14)

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 1,168 (12,151)
Citation 8

Abstract:

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

2.

The Scale of Predictability

Number of pages: 41 Posted: 05 Dec 2012 Last Revised: 11 Oct 2017
Johns Hopkins University - Carey Business School, University of Montreal - Department of Economics, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 359 (35,542)
Citation 3

Abstract:

long run, predictability, 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 University of Geneva
Downloads 348 (63,247)
Citation 3

Abstract:

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

4.

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, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 243 (93,527)
Citation 2

Abstract:

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

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Number of pages: 48 Posted: 24 May 2014
Carnegie Mellon University - David A. Tepper School of Business, Audencia Business School, Bocconi University - Department of Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 183 (139,571)
Citation 1

Abstract:

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
Carnegie Mellon University - David A. Tepper School of Business, Bocconi University - Department of Finance, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 46 (351,854)
Citation 1

Abstract:

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
Carnegie Mellon University - David A. Tepper School of Business, Bocconi University - Department of Finance, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
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Citation 1
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Abstract:

longevity risk, strategic asset allocation

6.

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 University of Geneva
Downloads 207 (108,896)

Abstract:

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

7.

Illiquid Assets and Optimal Portfolio Choice

NBER Working Paper No. w12633
Number of pages: 66 Posted: 20 Nov 2006
Claudio Tebaldi and Eduardo S. Schwartz
Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 139 (176,822)
Citation 8

Abstract:

8.

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, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 104 (210,337)

Abstract:

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

9.

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

Number of pages: 84 Posted: 15 Dec 2011 Last Revised: 17 Oct 2017
Bocconi University - Department of Finance, Bocconi University, London School of Economics & Political Science (LSE) and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 93 (134,770)

Abstract:

Wold decomposition, Abstract Wold Theorem, persistence heterogeneity, impulse response functions, forecasting

10.

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 (441,948)
Citation 1
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Abstract:

11.

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 (518,969)
Citation 11
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Abstract:

12.

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 University of Geneva
Downloads 6 (107,503)

Abstract:

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

13.

Levered Returns and Capital Structure Imbalances

Number of pages: 62 Posted: 24 Jan 2017 Last Revised: 15 Jun 2017
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 0 (161,441)

Abstract:

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

14.

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

Abstract:

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

Other Papers (1)

Total Downloads: 13    Citations: 8
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 University of California, Los Angeles (UCLA) - Finance Area
Downloads 0 (176,822)
Citation 8

Abstract:

Dynamic portfolio choice