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 1,331 (13,815)

Citation 57

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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 797 (29,492)

Citation 22

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Hedging (Co)Variance Risk with Variance Swaps

Downloads 779 ( 30,423)

Citation 14

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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 549 (47,964)

Citation 12

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 230 (130,737)

Citation 2

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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 642 (39,526)

Citation 24

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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 490 (56,040)

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6.

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 341 (86,451)

Citation 9

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7.

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 322 (92,099)

Citation 1

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8.

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 312 (95,380)

Citation 8

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9.

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 268 (112,277)

Citation 2

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10.

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 266 (113,120)

Citation 16

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11.

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 242 (124,667)

Citation 7

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12.

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 211 (142,576)

Citation 4

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13.

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 203 (147,801)

Citation 7

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14.

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 201 (149,181)

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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 Schlogl

University of Technology Sydney (UTS), UTS Business School, Finance Discipline Group, University of Padova - Department of Mathematics and University of Technology Sydney (UTS), Quantitative Finance Research Centre

Downloads 181 (164,214)

Citation 4

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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 162 (180,896)

Citation 7

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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 162 (180,896)

Citation 9

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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 107 (249,953)

Citation 1

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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 98 (265,337)

Citation 2

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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 93 (274,495)

Citation 4

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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 89 (282,209)

Citation 6

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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 85 (290,472)

Citation 1

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23.

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 80 (301,228)

Citation 5

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24.

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 75 (312,892)

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25.

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 48 (390,184)

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 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 39 (422,849)

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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 (503,511)

Citation 2

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Abstract:

28.

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 (592,904)

Citation 21

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Abstract:

29.

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 (661,445)

Citation 14

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Martino Grasselli

University of Padova - Department of Mathematics

Full Professor

Léonard de Vinci Pôle Universitaire, Research Center

Head of Finance Group

29

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Scholarly Papers (29)

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

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Solvable Affine Term Structure Models

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

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