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Martino Grasselli
Martino Grasselli
Università di Padova and Devinci Research Center, Paris la Defense
Verified email at math.unipd.it - Homepage
Title
Cited by
Cited by
Year
Optimal investment strategies in the presence of a minimum guarantee
G Deelstra, M Grasselli, PF Koehl
Insurance: Mathematics and Economics 33 (1), 189-207, 2003
3092003
Option pricing when correlations are stochastic: an analytical framework
JD Fonseca, M Grasselli, C Tebaldi
Review of Derivatives Research 10, 151-180, 2007
2302007
A multifactor volatility Heston model
J Da Fonseca, M Grasselli, C Tebaldi
Quantitative Finance 8 (6), 591-604, 2008
2212008
Optimal investment strategies in a CIR framework
G Deelstra, M Grasselli, PF Koehl
Journal of Applied Probability 37 (4), 936-946, 2000
1522000
Solvable affine term structure models
M Grasselli, C Tebaldi
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2008
1382008
The 4/2 stochastic volatility model: A unified approach for the Heston and the 3/2 model
M Grasselli
Mathematical Finance 27 (4), 1013-1034, 2017
1352017
Optimal design of the guarantee for defined contribution funds
G Deelstra, M Grasselli, PF Koehl
Journal of economic dynamics and control 28 (11), 2239-2260, 2004
1332004
Riding on the smiles
J Da Fonseca, M Grasselli
Quantitative Finance 11 (11), 1609-1632, 2011
842011
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
J Da Fonseca, M Grasselli, F Ielpo
Studies in Nonlinear Dynamics & Econometrics 18 (3), 253-289, 2014
722014
General closed-form basket option pricing bounds
R Caldana, G Fusai, A Gnoatto, M Grasselli
Quantitative Finance 16 (4), 535-554, 2016
602016
Smiles all around: FX joint calibration in a multi-Heston model
A De Col, A Gnoatto, M Grasselli
Journal of Banking & Finance 37 (10), 3799-3818, 2013
552013
Hedging (co) variance risk with variance swaps
J Da Fonseca, M Grasselli, F Ielpo
International Journal of Theoretical and Applied Finance 14 (06), 899-943, 2011
542011
A stability result for the HARA class with stochastic interest rates
M Grasselli
Insurance: Mathematics and Economics 33 (3), 611-627, 2003
542003
The explicit Laplace transform for the Wishart process
A Gnoatto, M Grasselli
Journal of Applied Probability 51 (3), 640-656, 2014
402014
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
G Callegaro, M Grasselli, G Pages
Mathematics of Operations Research 46 (1), 221-254, 2021
372021
A flexible spot multiple-curve model
M Grasselli, G Miglietta
Quantitative Finance 16 (10), 1465-1477, 2016
322016
An affine multicurrency model with stochastic volatility and stochastic interest rates
A Gnoatto, M Grasselli
SIAM Journal on Financial Mathematics 5 (1), 493-531, 2014
322014
Pricing currency derivatives under the benchmark approach
J Baldeaux, M Grasselli, E Platen
Journal of Banking & Finance 53, 34-48, 2015
302015
Pricing via recursive quantization in stochastic volatility models
G Callegaro, L Fiorin, M Grasselli
Quantitative Finance 17 (6), 855-872, 2017
292017
A consistent stochastic model of the term structure of interest rates for multiple tenors
M Alfeus, M Grasselli, E Schlögl
Journal of Economic Dynamics and Control 114, 103861, 2020
282020
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