Martino Grasselli

University of Padova - Department of Mathematics

Full Professor

Via Trieste 63

Padova, Padova

Italy

Léonard de Vinci Pôle Universitaire, Research Center

Head of Finance Group

Paris La Défense

France

SCHOLARLY PAPERS

31

DOWNLOADS
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Top 6,996

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8,958

SSRN CITATIONS
Rank 7,340

SSRN RANKINGS

Top 7,340

in Total Papers Citations

85

CROSSREF CITATIONS

93

Scholarly Papers (31)

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 1,416 (19,090)
Citation 36

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

2.

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function

Number of pages: 47 Posted: 06 Dec 2007 Last Revised: 24 Jan 2017
José Da Fonseca, Martino Grasselli and Florian Ielpo
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 834 (40,998)
Citation 17

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Wishart Process, Empirical Characteristic Function, Stochastic Correlation

3.
Downloads 802 ( 43,217)
Citation 15

Hedging (Co)Variance Risk with Variance Swaps

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 46 Posted: 04 Mar 2008 Last Revised: 24 Jan 2017
José Da Fonseca, Martino Grasselli and Florian Ielpo
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 561 (67,936)
Citation 7

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Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice

Hedging (Co)Variance Risk with Variance Swaps

Number of pages: 46 Posted: 19 Feb 2009
José Da Fonseca, Florian Ielpo and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Padova - Department of Mathematics
Downloads 241 (175,177)
Citation 12

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Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice with derivatives

4.

Riding on the Smiles

Number of pages: 52 Posted: 24 Aug 2010 Last Revised: 09 Feb 2011
José Da Fonseca and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law and University of Padova - Department of Mathematics
Downloads 683 (53,457)
Citation 4

Abstract:

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calibration, implied volatility, Wishart stochasic volatility, FFT, stochastic skew

5.

The 4/2 Stochastic Volatility Model

Number of pages: 21 Posted: 14 Nov 2014 Last Revised: 17 Aug 2016
Martino Grasselli
University of Padova - Department of Mathematics
Downloads 633 (58,919)

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Stochastic volatility; Volatility modelling; Lie's symmetries; Laplace Transform; Exact Simulation

6.

Stochastic Skew and Target Volatility Options

Journal of Futures Markets. Forthcoming
Number of pages: 25 Posted: 02 Apr 2014 Last Revised: 30 Mar 2015
Martino Grasselli and Jacinto Marabel Romo
University of Padova - Department of Mathematics and Grupo Banco Bilbao Vizcaya Argentaria (BBVA)
Downloads 527 (74,297)
Citation 1

Abstract:

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target volatility options, stochastic volatility, multifactor, stochastic skew, forward-start options

7.

VIX vs VXX: A Joint Analytical Framework

Number of pages: 31 Posted: 24 Mar 2018
Martino Grasselli and Lakshithe Wagalath
University of Padova - Department of Mathematics and IESEG School of Management
Downloads 401 (102,663)
Citation 3

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Volatility Index, VIX, VIX Exchange-Traded Notes, VXX

8.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015
Independent, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 390 (106,054)
Citation 12

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Basket option, Lower Bound, Non Gaussian models, Upper Bound, Fourier Transform, Exotic option

9.

Pricing and Calibration in Local Volatility Models via Fast Quantization

Number of pages: 13 Posted: 15 Sep 2014 Last Revised: 12 May 2017
University of PaduaUniversity of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 332 (126,812)
Citation 6

Abstract:

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Quantization, local volatility, calibration, Normal quadratic volatility model

10.

Quantization Meets Fourier: A New Technology for Pricing Options

Number of pages: 24 Posted: 12 Apr 2017
University of PaduaUniversity of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 306 (138,232)
Citation 3

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Quantization, characteristic function, option pricing, stochastic volatility, jump processes, American options

11.

Smiles All Around: FX Joint Calibration in a Multi-Heston Model

Journal of Banking and Finance, Forthcoming
Number of pages: 34 Posted: 09 Jan 2012 Last Revised: 10 Apr 2014
Alvise De Col, Alessandro Gnoatto and Martino Grasselli
Independent, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 293 (144,601)
Citation 1

Abstract:

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Forex, Calibration, Multi-Heston model, triangular relation

12.

An Affine Multi-Currency Model with Stochastic Volatility and Stochastic Interest Rates

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 43 Posted: 01 Mar 2013 Last Revised: 07 May 2014
Alessandro Gnoatto and Martino Grasselli
University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 263 (161,343)
Citation 2

Abstract:

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FX options, Hybrid models, longdated FX, Wishart process, Affine process, FFT

13.

Pricing via Quantization in Stochastic Volatility Models

Number of pages: 27 Posted: 07 Oct 2015
University of PaduaUniversity of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 240 (176,393)
Citation 6

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14.

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors

FIRN Research Paper
Number of pages: 52 Posted: 25 May 2017 Last Revised: 17 Sep 2018
Mesias Alfeus, Martino Grasselli and Erik Schlögl
Department of Statistics and Actuarial Science - Stellenbosch University, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 229 (184,478)
Citation 9

Abstract:

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tenor swap, basis, frequency basis, liquidity risk, swap market

15.

A Flexible Spot Multiple-Curve Model

Number of pages: 24 Posted: 13 Apr 2014
Martino Grasselli and Giulio Miglietta
University of Padova - Department of Mathematics and University of Padova - Department of Mathematics
Downloads 225 (187,450)
Citation 6

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Short rate models, Multiple-curve interest rate model, LIBOR-OIS spread, Analytical tractability, Calibration to market data, Affine specifi cation

16.

Analytic Pricing of Volatility-Equity Options within Affine Models: An Efficient Conditioning Technique

Number of pages: 26 Posted: 24 Apr 2014 Last Revised: 16 Jan 2015
José Da Fonseca, Alessandro Gnoatto and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 179 (230,696)
Citation 4

Abstract:

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Finance, Target Volatility Options, Corridor Variance Swap, Double Digital Call, Affine Stochastic Volatility Models

17.

Pricing Currency Derivatives Under the Benchmark Approach

Number of pages: 25 Posted: 18 Sep 2013 Last Revised: 05 Oct 2013
Jan F. Baldeaux, Martino Grasselli and Eckhard Platen
Standard Chartered Bank, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 176 (234,053)
Citation 2

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18.

Explosion Time for some Wishart Transforms

Number of pages: 22 Posted: 24 Dec 2014 Last Revised: 02 Mar 2015
Université Libre de Bruxelles (ULB), University of Padova - Department of Mathematics and Université Libre de Bruxelles (ULB)
Downloads 120 (316,939)
Citation 1

Abstract:

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Wishart process, Laplace transform, explosion time

19.

The Role of the Dependence between Mortality and Interest Rates When Pricing Guaranteed Annuity Options

Number of pages: 34 Posted: 02 Oct 2015 Last Revised: 12 Oct 2015
Université Libre de Bruxelles (ULB), University of Padova - Department of Mathematics and Université Libre de Bruxelles (ULB)
Downloads 111 (334,673)
Citation 1

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Wishart process, Guaranteed Annuity Options, Stochastic mortality, Stochastic interest rates, Affine interest rate models, Dependence, Fourier

20.

Pricing Range Notes within Wishart Affine Models

Number of pages: 36 Posted: 11 Aug 2013 Last Revised: 04 Jan 2014
Carl Chiarella, José Da Fonseca and Martino Grasselli
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Auckland University of Technology - Faculty of Business & Law and University of Padova - Department of Mathematics
Downloads 110 (336,762)
Citation 2

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affine term structure models, Wishart models, Range Accrual Notes, model risk

21.

The Explicit Laplace Transform for the Wishart Process

Journal of Applied Probability, Forthcoming
Number of pages: 18 Posted: 15 Jul 2011 Last Revised: 20 Aug 2013
Alessandro Gnoatto and Martino Grasselli
University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 108 (340,918)
Citation 5

Abstract:

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Affine Processes, Wishart Process, ODE, Laplace Transform

22.

Lie Symmetry Methods for Local Volatility Models

Number of pages: 33 Posted: 10 Sep 2016
Mark Craddock and Martino Grasselli
University of Technology Sydney (UTS) and University of Padova - Department of Mathematics
Downloads 103 (351,905)
Citation 2

Abstract:

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Lie symmetries, fundamental Solution, PDEs, Local Volatility Models, Normal Quadratic Volatility Model

23.

Fair Demographic Risk Sharing in Defined Contribution Pension Systems

Number of pages: 24 Posted: 29 Aug 2010 Last Revised: 24 Mar 2011
Daniel Gabay and Martino Grasselli
Ecole des Hautes Etudes en Sciences Sociales (EHESS) and University of Padova - Department of Mathematics
Downloads 92 (378,255)

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24.

A Flexible Matrix Libor Model with Smiles

Number of pages: 34 Posted: 23 Mar 2012
Alessandro Gnoatto, Martino Grasselli and José Da Fonseca
University of Verona - Department of Economics, University of Padova - Department of Mathematics and Auckland University of Technology - Faculty of Business & Law
Downloads 90 (383,343)

Abstract:

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Affine processes, Wishart process, Libor market model, Fast Fourier Transform, Caps, Floors, Swaptions

25.

A General Framework for a Joint Calibration of VIX and VXX Options

Number of pages: 24 Posted: 19 Feb 2021 Last Revised: 14 Jun 2021
Martino Grasselli, Andrea Mazzoran and Andrea Pallavicini
University of Padova - Department of Mathematics, affiliation not provided to SSRN and Intesa Sanpaolo
Downloads 89 (385,957)
Citation 1

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Local volatility, Stochastic volatility, VIX, VIX futures, VXX.

26.

A Dynamic Model for Cash Flow at Risk

Number of pages: 25 Posted: 09 Jan 2019
University of Verona - Department of Economics, University of Verona - Department of Economics, University of Verona - Department of EconomicsUniversity of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 89 (385,957)

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Cash Flow, Difference Equation, Sensitivity Analysis, Cash Flow at Risk

27.

A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds

Number of pages: 42 Posted: 18 Aug 2016
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
University of Verona - Department of Economics, University of Padova - Department of Mathematics and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 63 (467,296)
Citation 2

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Forex, benchmark approach, benchmarked risk minimization, stochastic volatility, long term securities

28.

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

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 (678,583)

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29.

A Fully Quantization-based Scheme for FBSDEs

Number of pages: 22 Posted: 10 May 2021
University of PaduaUniversity of Padua, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 17 (717,405)

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FBSDEs, Quantization, Numerical Scheme

30.

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 11 (769,653)
Citation 1

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31.

The 4/2 Stochastic Volatility Model: A Unified Approach for the Heston and the 3/2 Model

Mathematical Finance, Vol. 27, Issue 4, pp. 1013-1034, 2017
Number of pages: 22 Posted: 19 Sep 2017
Martino Grasselli
University of Padova - Department of Mathematics
Downloads 4 (837,531)
Citation 9

Abstract:

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stochastic volatility, volatility modeling, Lie's symmetries, Laplace transform, exact simulation