GRASSELLI, MARTINO

GRASSELLI, MARTINO  

Dipartimento di Matematica "Tullio Levi-Civita" - DM  

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Titolo Data di pubblicazione Autori Rivista Serie Titolo libro
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors 2020 Martino Grasselli + JOURNAL OF ECONOMIC DYNAMICS & CONTROL - -
A flexible matrix Libor model with smiles 2013 GRASSELLI, MARTINO + JOURNAL OF ECONOMIC DYNAMICS & CONTROL - -
A flexible spot multiple-curve model 2016 GRASSELLI, MARTINOMIGLIETTA, GIULIO QUANTITATIVE FINANCE - -
A fully quantization-based scheme for FBSDEs 2023 Callegaro G.Gnoatto A.Grasselli M. APPLIED MATHEMATICS AND COMPUTATION - -
A general framework for a joint calibration of VIX and VXX options 2023 Grasselli M.Mazzoran A. + ANNALS OF OPERATIONS RESEARCH - -
A Multifactor Stochastic Heston Model 2008 GRASSELLI, MARTINO + QUANTITATIVE FINANCE - -
A Stability Result for the HARA Class with Stochastic Interest Rates 2003 GRASSELLI, MARTINO INSURANCE MATHEMATICS & ECONOMICS - -
American quantized calibration in stochastic volatility 2018 giorgia callegaromartino grassellilucio fiorin RISK - -
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates 2014 GRASSELLI, MARTINO + SIAM JOURNAL ON FINANCIAL MATHEMATICS - -
Analytic pricing of volatility-equity options within affine models: an efficient conditioning technique 2015 GNOATTO, ALESSANDROGRASSELLI, MARTINO + OPERATIONS RESEARCH LETTERS - -
Bond price and impulse response analysis in the Balduzzi, Das, Foresi and Sunradam (1996) model 2004 GRASSELLI, MARTINO + ECONOMIC NOTES - -
Calibration to FX triangles of the 4/2 model under the benchmark approach 2021 Grasselli M. + DECISIONS IN ECONOMICS AND FINANCE - -
Conditional Dominance Criteria: Definition and Application to Risk-Management 1999 GRASSELLI, MARTINO + INSURANCE MATHEMATICS & ECONOMICS - -
CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets 2020 Conti M.Grasselli M. + - - ACM International Conference Proceeding Series
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 2014 GRASSELLI, MARTINO + STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS - -
Estimating the Wishart Affine Stochastic Correlation Modelusing the Empirical Characteristic Function 2008 GRASSELLI, MARTINO + - - -
Explosion time for some Laplace transforms of the Wishart process 2019 Martino Grasselli + STOCHASTIC MODELS - -
Fair demographic risk sharing in defined contribution pension systems 2012 GRASSELLI, MARTINO + JOURNAL OF ECONOMIC DYNAMICS & CONTROL - -
Fast hybrid schemes for fractional Riccati equations (Rough is not so tough) 2021 Callegaro G.Grasselli M. + MATHEMATICS OF OPERATIONS RESEARCH - -
General closed-form basket option pricing bounds 2016 GNOATTO, ALESSANDROGRASSELLI, MARTINO + QUANTITATIVE FINANCE - -