Author Page for Martino Grasselli

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

Abstract:

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

Abstract:

3.

Hedging (Co)Variance Risk with Variance Swaps

Downloads 802 ( 43,217)

Citation 15

2

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

Abstract:

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

Abstract:

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:

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)

Abstract:

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:

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

Abstract:

8.

General Closed-Form Basket Option Pricing Bounds

Number of pages: 56 Posted: 08 Jan 2014 Last Revised: 19 Jun 2015

Ruggero Caldana, Gianluca Fusai, Alessandro Gnoatto and Martino Grasselli

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

Abstract:

9.

Pricing and Calibration in Local Volatility Models via Fast Quantization

Number of pages: 13 Posted: 15 Sep 2014 Last Revised: 12 May 2017

Giorgia Callegaro, Giorgia Callegaro, Lucio Fiorin and Martino Grasselli

University of PaduaUniversity of Padua, University of Padua and University of Padova - Department of Mathematics

Downloads 332 (126,812)

Citation 6

Abstract:

10.

Quantization Meets Fourier: A New Technology for Pricing Options

Number of pages: 24 Posted: 12 Apr 2017

Giorgia Callegaro, Giorgia Callegaro, Lucio Fiorin and Martino Grasselli

University of PaduaUniversity of Padua, University of Padua and University of Padova - Department of Mathematics

Downloads 306 (138,232)

Citation 3

Abstract:

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:

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:

13.

Pricing via Quantization in Stochastic Volatility Models

Number of pages: 27 Posted: 07 Oct 2015

Giorgia Callegaro, Giorgia Callegaro, Lucio Fiorin and Martino Grasselli

University of PaduaUniversity of Padua, University of Padua and University of Padova - Department of Mathematics

Downloads 240 (176,393)

Citation 6

Abstract:

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:

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

Abstract:

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:

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

Abstract:

18.

Explosion Time for some Wishart Transforms

Number of pages: 22 Posted: 24 Dec 2014 Last Revised: 02 Mar 2015

Griselda Deelstra, Martino Grasselli and Christopher Van Weverberg

Université Libre de Bruxelles (ULB), University of Padova - Department of Mathematics and Université Libre de Bruxelles (ULB)

Downloads 120 (316,939)

Citation 1

Abstract:

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

Griselda Deelstra, Martino Grasselli and Christopher Van Weverberg

Université Libre de Bruxelles (ULB), University of Padova - Department of Mathematics and Université Libre de Bruxelles (ULB)

Downloads 111 (334,673)

Citation 1

Abstract:

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

Abstract:

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:

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:

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)

Abstract:

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:

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

Abstract:

26.

A Dynamic Model for Cash Flow at Risk

Number of pages: 25 Posted: 09 Jan 2019

Luca Gentili, Bruno Giacomello, Dario Girardi, Dario Girardi and Martino Grasselli

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)

Abstract:

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

Abstract:

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)

Abstract:

29.

A Fully Quantization-based Scheme for FBSDEs

Number of pages: 22 Posted: 10 May 2021

Giorgia Callegaro, Giorgia Callegaro, Alessandro Gnoatto and Martino Grasselli

University of PaduaUniversity of Padua, University of Verona - Department of Economics and University of Padova - Department of Mathematics

Downloads 17 (717,405)

Abstract:

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

Abstract:

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

Martino Grasselli

University of Padova - Department of Mathematics

Full Professor

Léonard de Vinci Pôle Universitaire, Research Center

Head of Finance Group

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Scholarly Papers (31)

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