GRASSELLI, MARTINO
GRASSELLI, MARTINO
Dipartimento di Matematica "Tullio Levi-Civita" - DM
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
2020 Grasselli, Martino; Alfeus, Mesias; Schlogl, Erik
A flexible matrix Libor model with smiles
2013 Da, Fonseca; Grasselli, Martino
A flexible spot multiple-curve model
2016 Grasselli, Martino; Miglietta, Giulio
A fully quantization-based scheme for FBSDEs
2023 Callegaro, G.; Gnoatto, A.; Grasselli, M.
A general framework for a joint calibration of VIX and VXX options
2023 Grasselli, M.; Mazzoran, A.; Pallavicini, A.
A Multifactor Stochastic Heston Model
2008 DA FONSECA, J; Grasselli, Martino; Tebaldi, C.
A Stability Result for the HARA Class with Stochastic Interest Rates
2003 Grasselli, Martino
American quantized calibration in stochastic volatility
2018 Callegaro, Giorgia; Grasselli, Martino; Fiorin, Lucio
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
2014 Alessandro, Gnoatto; Grasselli, Martino
Analytic pricing of volatility-equity options within affine models: an efficient conditioning technique
2015 Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino
Bond price and impulse response analysis in the Balduzzi, Das, Foresi and Sunradam (1996) model
2004 Grasselli, Martino; Tebaldi, C.
Calibration to FX triangles of the 4/2 model under the benchmark approach
2021 Gnoatto, A.; Grasselli, M.; Platen, E.
Conditional Dominance Criteria: Definition and Application to Risk-Management
1999 Deelstra, G.; Grasselli, Martino; Koehl, P. F.
CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets
2020 Calesso, A.; Conti, M.; Grasselli, M.
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
2014 Da, Fonseca; Grasselli, Martino
Estimating the Wishart Affine Stochastic Correlation Modelusing the Empirical Characteristic Function
2008 DA FONSECA, J; Grasselli, Martino; Ielpo, F.
Explosion time for some Laplace transforms of the Wishart process
2019 Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher
Fair demographic risk sharing in defined contribution pension systems
2012 Gabay, D; Grasselli, Martino
Fast hybrid schemes for fractional Riccati equations (Rough is not so tough)
2021 Callegaro, G.; Grasselli, M.; Pages, G.
General closed-form basket option pricing bounds
2016 Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino