Martino Grasselli

Available identifiers

zbMath Open grasselli.martinoMaRDI QIDQ318336

List of research outcomes

Publication	Date of Publication	Type
Novel exact solutions for PDEs with mixed boundary conditions	2023-11-20	Paper
From elephant to goldfish (and back): memory in stochastic Volterra processes	2023-06-05	Paper
A fully quantization-based scheme for FBSDEs	2022-12-07	Paper
Calibration to FX triangles of the 4/2 model under the benchmark approach	2022-06-17	Paper
Long versus short time scales: the rough dilemma and beyond	2022-06-17	Paper
General closed-form basket option pricing bounds	2021-07-16	Paper
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)	2021-06-03	Paper
A Fully Quantization-based Scheme for FBSDEs	2021-05-07	Paper
VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK	2021-01-29	Paper
A consistent stochastic model of the term structure of interest rates for multiple tenors	2020-06-25	Paper
Lie symmetry methods for local volatility models	2020-04-29	Paper
Quantization meets Fourier: a new technology for pricing options	2020-01-20	Paper
Explosion time for some Laplace transforms of the Wishart process	2019-05-15	Paper
Pricing via recursive quantization in stochastic volatility models	2018-11-19	Paper
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models	2018-09-28	Paper
THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL	2017-10-24	Paper
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options	2016-12-14	Paper
A flexible matrix Libor model with smiles	2016-10-05	Paper
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function	2016-01-19	Paper
Pricing range notes within Wishart affine models	2015-01-28	Paper
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates	2015-01-20	Paper
The Explicit Laplace Transform for the Wishart Process	2014-10-15	Paper
Riding on the smiles	2013-12-13	Paper
Fair demographic risk sharing in defined contribution pension systems	2012-07-13	Paper
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS	2011-11-22	Paper
A multifactor volatility Heston model	2008-11-18	Paper
Optimal design of the guarantee for defined contribution funds	2008-11-06	Paper
SOLVABLE AFFINE TERM STRUCTURE MODELS	2008-05-22	Paper
Option pricing when correlations are stochastic: an analytical framework	2008-05-06	Paper
Stochastic Jacobian and Riccati ODE in affine term structure models	2008-03-14	Paper
Sup-convolutions of HARA utilities in the affine term structure	2006-03-09	Paper
A stability result for the HARA class with stochastic interest rates.	2004-02-14	Paper
Optimal investment strategies in the presence of a minimum guarantee.	2003-11-16	Paper
Optimal investment strategies in a CIR framework	2002-07-18	Paper
Conditional dominance criteria: Definition and application to risk-management	2000-05-08	Paper

Research outcomes over time

Doctoral students

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