Sfoglia per Autore
Analytic pricing of volatility-equity options within affine models: an efficient conditioning technique
2015 Da Fonseca, José; Gnoatto, Alessandro; Grasselli, Martino
Pricing currency derivatives under the benchmark approach
2015 Jan, Baldeaux; Grasselli, Martino; Eckhard, Platen
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates
2014 Alessandro, Gnoatto; Grasselli, Martino
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
2014 Da, Fonseca; Grasselli, Martino
Pricing and Calibration in Local Volatility Models Via Fast Quantization
2014 Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino
Pricing range notes within Wishart affine models
2014 Carl, Chiarella; José Da, Fonseca; Grasselli, Martino
The explicit Laplace transform for the Wishart process
2013 Grasselli, Martino
A flexible matrix Libor model with smiles
2013 Da, Fonseca; Grasselli, Martino
Smiles all around: FX joint calibration in a multi-Heston model
2013 De, Col; Grasselli, Martino
Fair demographic risk sharing in defined contribution pension systems
2012 Gabay, D; Grasselli, Martino
I nuovi piani di incentivazione azionaria
2011 Lanzavecchia, Alberto; Grasselli, Martino
Riding on the smiles
2011 J., Da Fonseca; Grasselli, Martino
Hedging (Co)Variance Risk with Variance Swaps
2011 DA FONSECA, J; Grasselli, Martino; Ielpo, F.
Matematica Generale
2010 Buratto, Alessandra; Grasselli, Martino; Grosset, Luca; Viscolani, Bruno
Solvable Affine Term Structure Models
2008 Grasselli, Martino; Tebaldi, C.
A Multifactor Stochastic Heston Model
2008 DA FONSECA, J; Grasselli, Martino; Tebaldi, C.
Estimating the Wishart Affine Stochastic Correlation Modelusing the Empirical Characteristic Function
2008 DA FONSECA, J; Grasselli, Martino; Ielpo, F.
Stochastic Jacobian and Riccati ODE in affine term structure models
2007 Grasselli, Martino; M, Tebaldi
Option pricing when correlations are stochastic: an analytical framework
2007 DA FONSECA, J; Grasselli, Martino; Tebaldi, C.
Sup-Convolution of HARA utility functions in the affine term structure
2005 Grasselli, Martino
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