Sfoglia per Autore
A general framework for a joint calibration of VIX and VXX options
2023 Grasselli, M.; Mazzoran, A.; Pallavicini, A.
A fully quantization-based scheme for FBSDEs
2023 Callegaro, G.; Gnoatto, A.; Grasselli, M.
Fast hybrid schemes for fractional Riccati equations (Rough is not so tough)
2021 Callegaro, G.; Grasselli, M.; Pages, G.
Long versus short time scales: the rough dilemma and beyond
2021 Garcin, M.; Grasselli, M.
Calibration to FX triangles of the 4/2 model under the benchmark approach
2021 Gnoatto, A.; Grasselli, M.; Platen, E.
A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
2020 Grasselli, Martino; Alfeus, Mesias; Schlogl, Erik
Lie symmetry methods for local volatility models
2020 Grasselli, Martino; Craddock, Mark
Vix versus vxx: a joint analytical framework
2020 Grasselli, M.; Wagalath, L.
CyberWolf: Assessing vulnerabilities of ICT-intensive financial markets
2020 Calesso, A.; Conti, M.; Grasselli, M.
Quantization meets Fourier: a new technology for pricing options
2019 Callegaro, Giorgia; Grasselli, Martino; Fiorin, Lucio
Explosion time for some Laplace transforms of the Wishart process
2019 Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher
American quantized calibration in stochastic volatility
2018 Callegaro, Giorgia; Grasselli, Martino; Fiorin, Lucio
Matematica generale, terza edizione
2018 Grosset, Luca; Grasselli, Martino; Buratto, Alessandra; Viscolani, Bruno
The 4/2 Stochastic Volatility Model
2017 Grasselli, Martino
Pricing via recursive Quantization in Stochastic Volatility Models
2017 Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino
A flexible spot multiple-curve model
2016 Grasselli, Martino; Miglietta, Giulio
STOCHASTIC SKEW AND TARGET VOLATILITY OPTIONS
2016 Grasselli, Martino; JACINTO MARABEL, Romo
The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options
2016 Deelstra, Griselda; Grasselli, Martino; Van Weverberg, Christopher
General closed-form basket option pricing bounds
2016 Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro; Grasselli, Martino
Analytic pricing of volatility-equity options within affine models: an efficient conditioning technique
2015 Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino
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