The 4/2 stochastic volatility model : a unified approach for the Heston and the 3/2 model

von Grasselli, Martino
Veröffentlicht in Mathematical finance (2017)

Solvable affine term structure models

von Grasselli, Martino
Veröffentlicht in Mathematical finance (2008)

Bond price and impulse response function for the Balduzzi, Das, Foresi and Sundaram (1996) model

von Grasselli, Martino
Veröffentlicht in Economic notes (2004)

Fair demographic risk sharing in defined contribution pension systems

von Gabay, Daniel
Veröffentlicht in Journal of economic dynamics & control (2012)

Stochastic Jacobian and Riccati ODE in affine term structure models

von Grasselli, Martino
Veröffentlicht in Decisions in economics and finance (2007)

VIX versus VXX : a joint analytical framework

von Grasselli, Martino
Veröffentlicht in International journal of theoretical and applied finance (2020)

Stochastic skew and target volatility options

von Grasselli, Martino
Veröffentlicht in The journal of futures markets (2016)

Pricing currency derivatives under the benchmark approach

von Baldeaux, Jan
Veröffentlicht in Journal of banking & finance (2015)

A consistent stochastic model of the term structure of interest rates for multiple tenors

von Alfeus, Mesias
Veröffentlicht in Journal of economic dynamics & control (2020)

Fast hybrid schemes for fractional Riccati equations (rough is not so tough)

von Callegaro, Giorgia
Veröffentlicht in Mathematics of operations research (2021)

Quantization meets Fourier : a new technology for pricing options

von Callegaro, Giorgia
Veröffentlicht in Symposium on Quantitative Finance and Risk Analysis (3. : 2017 : Kerkira) Application of operations research to financial markets (2019)

Conditional dominance criteria : definition and application to risk-management

von Deelstra, Griselda
Veröffentlicht 1999

Hedging (co)variance risk with variance swaps

von Fonseca, José da
Veröffentlicht in International journal of theoretical and applied finance (2011)

Pricing range notes within Wishart affine models

von Chiarella, Carl
Veröffentlicht in Insurance / Mathematics & economics (2014)

Smiles all around : FX joint calibration in a multi-Heston model

von De Col, Alvise
Veröffentlicht in Journal of banking & finance (2013)

A flexible matrix Libor model with smiles

von Da Foncesca, José
Veröffentlicht in Journal of economic dynamics & control (2013)

Option pricing when correlations are stochastic : an analytical framework

von Fonseca, José da
Veröffentlicht in Review of derivatives research (2007)

Optimal design of the guarantee for defined contribution funds

von Deelstra, Griselda
Veröffentlicht in Journal of economic dynamics & control (2004)

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options

von Deelstra, Griselda
Veröffentlicht in Insurance / Mathematics & economics (2016)

Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

von Fonseca, José da
Veröffentlicht in Operations research letters (2015)