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2020 – today
- 2024
[j8]Giorgia Callegaro, Claudio Fontana, Martino Grasselli, Wolfgang J. Runggaldier, Tiziano Vargiolu:
Recent advances in mathematical methods for finance. Ann. Oper. Res. 336(1-2): 1-2 (2024)- [j7]Martino Grasselli
, Andrea Mazzoran, Andrea Pallavicini:
A general framework for a joint calibration of VIX and VXX options. Ann. Oper. Res. 336(1-2): 3-26 (2024) - 2023
- [j6]Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli:
A fully quantization-based scheme for FBSDEs. Appl. Math. Comput. 441: 127666 (2023) - 2021
- [j5]Giorgia Callegaro, Martino Grasselli, Gilles Pagès:
Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough). Math. Oper. Res. 46(1): 221-254 (2021) - [i1]Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli:
A Fully Quantization-based Scheme for FBSDEs. CoRR abs/2105.09276 (2021) - 2020
- [c1]Andrea Calesso, Mauro Conti, Martino Grasselli:
CyberWolf: assessing vulnerabilities of ICT-intensive financial markets. ARES 2020: 86:1-86:7
2010 – 2019
- 2019
- [j4]Giorgia Callegaro, Lucio Fiorin, Martino Grasselli:
Quantization meets Fourier: a new technology for pricing options. Ann. Oper. Res. 282(1-2): 59-86 (2019) - 2015
- [j3]José Da Fonseca, Alessandro Gnoatto, Martino Grasselli:
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models. Oper. Res. Lett. 43(6): 601-607 (2015) - 2014
- [j2]Alessandro Gnoatto, Martino Grasselli:
The Explicit Laplace Transform for the Wishart Process. J. Appl. Probab. 51(3): 640-656 (2014) - [j1]Alessandro Gnoatto, Martino Grasselli:
An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates. SIAM J. Financial Math. 5(1): 493-531 (2014)
Coauthor Index
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