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

  • University of Padova - Department of Mathematics

  • Léonard de Vinci Pôle Universitaire, Research Center

SCHOLARLY PAPERS

31

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83

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92

Scholarly Papers (31)

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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 1,386 (16,509)
Citation 35

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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 Unigestion
Downloads 817 (35,639)
Citation 17

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Wishart Process, Empirical Characteristic Function, Stochastic Correlation

3.

Hedging (Co)Variance Risk with Variance Swaps

Downloads 788 ( 37,453)
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 Unigestion
Downloads 554 (58,839)
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, Unigestion and University of Padova - Department of Mathematics
Downloads 234 (156,282)
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 668 (46,917)
Citation 4

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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 578 (56,542)

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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 386 (92,080)
Citation 1

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

7.

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 367 (97,612)
Citation 12

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

8.

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 346 (104,280)
Citation 3

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

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, Lucio Fiorin and Martino Grasselli
University of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 322 (113,001)
Citation 6

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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
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli
University of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 296 (123,621)
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 286 (128,133)
Citation 1

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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 253 (145,324)
Citation 1

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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
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli
University of Padua, University of Padua and University of Padova - Department of Mathematics
Downloads 231 (159,431)
Citation 6

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14.

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 217 (168,466)
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

15.

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 213 (171,453)
Citation 9

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

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 174 (205,796)
Citation 4

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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 172 (207,828)
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
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 115 (285,858)
Citation 1

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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
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 104 (306,436)
Citation 1

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

20.

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 104 (306,436)
Citation 5

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Affine Processes, Wishart Process, ODE, Laplace Transform

21.

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 97 (320,810)
Citation 2

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

22.

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 89 (338,717)

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23.

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 85 (348,474)
Citation 2

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

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 84 (350,865)

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

25.

A Dynamic Model for Cash Flow at Risk

Number of pages: 25 Posted: 09 Jan 2019
Luca Gentili, Bruno Giacomello, Dario Girardi and Martino Grasselli
University of Verona - Department of Economics, University of Verona - Department of Economics, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 79 (363,821)

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

26.

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 58 (428,523)
Citation 1

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

27.

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

Number of pages: 26 Posted: 19 Feb 2021
Martino Grasselli, Andrea Mazzoran and Andrea Pallavicini
University of Padova - Department of Mathematics, affiliation not provided to SSRN and Banca IMI
Downloads 51 (454,135)

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

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 (600,207)
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29.

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 (707,735)
Citation 1
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30.

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 0 (779,536)
Citation 9
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stochastic volatility, volatility modeling, Lie's symmetries, Laplace transform, exact simulation

31.

A Fully Quantization-based Scheme for FBSDEs

Number of pages: 22
Giorgia Callegaro, Alessandro Gnoatto and Martino Grasselli
University of Padua, University of Verona - Department of Economics and University of Padova - Department of Mathematics
Downloads 0

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FBSDEs, Quantization, Numerical Scheme