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Grasselli, Martino
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1

Recent advances in mathematical methods for finance:

Callegaro, Giorgia ; Fontana, Claudio ; Grasselli, Martino..
Annals of Operations Research.  336 (2024)  1-2 - p. 1-2 , 2024
Link: https://doi.org/10.1007/..
 
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2

A general framework for a joint calibration of VIX and VXX ..:

Grasselli, Martino ; Mazzoran, Andrea ; Pallavicini, Andrea
Annals of Operations Research.  336 (2023)  1-2 - p. 3-26 , 2023
Link: https://doi.org/10.1007/..
 
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3

A fully quantization-based scheme for FBSDEs:

Callegaro, Giorgia ; Gnoatto, Alessandro ; Grasselli, Martino
Applied Mathematics and Computation.  441 (2023)  - p. 127666 , 2023
Link: https://doi.org/10.1016/..
 
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4

Long versus short time scales: the rough dilemma and beyond:

Garcin, Matthieu ; Grasselli, Martino
Decisions in Economics and Finance.  45 (2021)  1 - p. 257-278 , 2021
Link: https://doi.org/10.1007/..
 
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5

Calibration to FX triangles of the 4/2 model under the benc..:

Gnoatto, Alessandro ; Grasselli, Martino ; Platen, Eckhard
Decisions in Economics and Finance.  45 (2021)  1 - p. 1-34 , 2021
Link: https://doi.org/10.1007/..
 
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6

CyberWolf : assessing vulnerabilities of ICT-intensive f..:

, In: Proceedings of the 15th International Conference on Availability, Reliability and Security,
Calesso, Andrea ; Conti, Mauro ; Grasselli, Martino - p. 1-7 , 2020
Link: https://dl.acm.org/doi/1..
 
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7

A consistent stochastic model of the term structure of inte..:

Alfeus, Mesias ; Grasselli, Martino ; Schlögl, Erik
Journal of Economic Dynamics and Control.  114 (2020)  - p. 103861 , 2020
Link: https://doi.org/10.1016/..
 
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8

Lie symmetry methods for local volatility models:

Craddock, Mark ; Grasselli, Martino
Stochastic Processes and their Applications.  130 (2020)  6 - p. 3802-3841 , 2020
Link: https://doi.org/10.1016/..
 
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9

Explosion time for some Laplace transforms of the Wishart p..:

Deelstra, Griselda ; Grasselli, Martino ; Van Weverberg, Christopher
Stochastic Models.  35 (2019)  1 - p. 89-104 , 2019
Link: https://doi.org/10.1080/..
 
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10

Quantization meets Fourier: a new technology for pricing op..:

Callegaro, Giorgia ; Fiorin, Lucio ; Grasselli, Martino
Annals of Operations Research.  282 (2018)  1-2 - p. 59-86 , 2018
Link: https://doi.org/10.1007/..
 
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11

The role of the dependence between mortality and interest r..:

Deelstra, Griselda ; Grasselli, Martino ; Van Weverberg, Christopher
Insurance: Mathematics and Economics.  71 (2016)  - p. 205-219 , 2016
Link: https://doi.org/10.1016/..
 
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12

THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR..:

Grasselli, Martino
Mathematical Finance.  27 (2016)  4 - p. 1013-1034 , 2016
Link: https://doi.org/10.1111/..
 
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13

Pricing via recursive quantization in stochastic volatility..:

Callegaro, Giorgia ; Fiorin, Lucio ; Grasselli, Martino
Quantitative Finance.  17 (2016)  6 - p. 855-872 , 2016
Link: https://doi.org/10.1080/..
 
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14

A flexible spot multiple-curve model:

Grasselli, Martino ; Miglietta, Giulio
Quantitative Finance.  16 (2016)  10 - p. 1465-1477 , 2016
Link: https://doi.org/10.1080/..
 
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15

Pricing currency derivatives under the benchmark approach:

Baldeaux, Jan ; Grasselli, Martino ; Platen, Eckhard
Journal of Banking & Finance.  53 (2015)  - p. 34-48 , 2015
Link: https://doi.org/10.1016/..
 
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